Initialization macros are invoked from the command line by using the --macro callExpr(args) command. This registers a callback which the compiler invokes after creating its context, but before typing the argument to --main. This then allows configuring the compiler in some ways.
If the argument to --macro is a call to a plain identifier, that identifier is looked up in the class haxe.macro.Compiler which is part of the Haxe Standard Library. It comes with several useful initialization macros which are detailed in its API.
As an example, the include macro allows the inclusion of an entire package for compilation, recursively if necessary. The command line argument for this would then be --macro include('some.pack', true).
Of course it is also possible to define custom initialization macros to perform various tasks before the real compilation. A macro like this would then be invoked via --macro some.Class.theMacro(args). For instance, as all macros share the same context, an initialization macro could set the value of a static field which other macros use as configuration.