SuSE 7.3 Bash Initialization
Great introduction into what files are processed when you initialise a Bash session. The finer details may vary from distro to distro, but good for getting an idea of what goes on.
From the site:
This is an overview of what gets set where when you use a bash shell in SuSE. The process works a little differently if you are running a different shell (zsh, ksh, [t]csh, etc.).