Currently I'm down deep in a few ASP.NET projects that require a fair bit of client-side code, which if you're wondering should explain the flurry of Ajax related posts these days :)
One of the first things developers learn about when starting out with ASP.NET, is the 'magic' method called Page_Load. When they get a bit more experience, they soon discover that it applies to all the Page/Control events, and that it is in fact just some reflection work done by ASP.NET when AutoEventWireup is turned on. At this point one could move into a discussion on whether to use Page_Load or override OnLoad, but lets assume we don't mind the overhead this 'magic' incurs.
As it turns out, ASP.NET Ajax allows you to do much the same - any method titled pageLoad found within the scripts on a page will get hooked up to the Sys.Application.load event.
In fact, there's a client side life-cycle which somewhat resembles what you'll be used to on the server-side. You can read all about it here :)