The answer by Xer0FyT is probably the simplest way to automatically start a program on the PI. But problems occur once the started program crashes for any reason because it won't get restarted, since there no process monitoring. I personally would recommend using daemontools instead. It's pretty simple to setup (and is included in Raspbian). Basically you create a service directory which contains a run shell script that starts your program. daemontools will then make sure that your program is started and restarted should it crash for any reason.
Setting daemontools up is pretty simple. Just
apt-get install daemontools daemontools-run
Then create your service directory containing an executable run script:
# create the service directory
mkdir -p /service/my-service
# create the run script
cat > /service/my-service/run <<EOF
#!/bin/sh
echo "I'm an example service executed by daemontools"
sleep 1
# Replace those 2 lines with a real call to your program like this:
# exec /my/program.py --arguments
EOF
# make it executable
chmod 755 /service/my-service/run
Have a look at /service/my-service/run and edit it, so it starts your own program instead of running echo. Once that's done, symlink that directory into /etc/service so daemontools automatically (re)starts it:
cd /etc/service
ln -s /service/my-service .
After about 5 seconds your program should run. You can start/stop it using
# stop it
$ svc -d /service/my-service
# start it
$ svc -u /service/my-service
It's also possible to log to (for example) syslog. So the output of your program doesn't get lost. I wrote a more complete blog post about this here: https://info-beamer.com/blog/running-info-beamer-in-production
