I've never done anything like that, but I guess you could try using mplayer with something like this, since mplayer can play audio (or video) from the command line:
It might be best to put it in a script which could then be called by rc.local.
If you are using a distro that plays some sort of start-up sound, there might be a conflict that needs to be resolved.
Also, if your distro does have a startup sound, you could see whether you could replace that sound with your mp3.
I have no idea whether either of these would actually work and no desire to test them on my own systems.
Here's a thread from the Ubuntu forums that you might find useful: http://askubuntu.com/questions/9853/...run-on-startup