Make applications remember their last state in Ubuntu
If you want your most-used applications already opened when you boot up into your Ubuntu box, all you have to do is go to System > Preferences > Startup Applications and in the Options tab check the box next to “Automatically remember running applications when logging out“.
Original tip source.
What if you want an application to start every time that wasn’t running when you last shutdown?
@Joe: Then you use System > Preferences > Startup Applications.