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If you just need to run a single command, e.g. to launch a daemon, you can usually add it to /etc/rc.local, although doing the full SysV style init stuff in /etc/rc.d/ or /etc/init.d (exact location depends on which distribution you're using). However, be advised that all start-up script run with root privileges. If you want your application to not run as root (usually a very good idea for security reasons) and it doesn't srop privileges on its own, be sure tyo have the startup script or rc.local command drop privileges for it (generally su'ing to the target account should be good enough).
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