You can either write a custom loader, or use the signals.
Loaders have the on_task_init method, which is called when a task is about to be executed,
and on_worker_init which is called by the celery+celerybeat main process.
Using signals is probably the easiest, the signals available are:
0.8.x:
task_prerun(task_id, task, args, kwargs)
Dispatched when a task is about to be executed by the worker (or locally
if using apply/or if CELERY_ALWAYS_EAGER has been set). 
 
task_postrun(task_id, task, args, kwargs, retval)
Dispatched after a task has been executed in the same conditions as above.
 
task_sent(task_id, task, args, kwargs, eta, taskset)
Called when a task is applied (not good for long-running operations)
 
Additional signals available in 0.9.x (current master branch on github):
worker_init()
Called when celeryd has started (before the task is initialized, so if on a
system supporting fork, any memory changes would be copied to the child
worker processes).
 
worker_ready()
Called when celeryd is able to receive tasks.
 
worker_shutdown()
Called when celeryd is shutting down.
 
Here's an example precalculating something the first time a task is run in the process:
from celery.task import Task
from celery.registry import tasks
from celery.signals import task_prerun
_precalc_table = {}
class PowersOfTwo(Task):
    def run(self, x):
        if x in _precalc_table:
            return _precalc_table[x]
        else:
            return x ** 2
tasks.register(PowersOfTwo)
def _precalc_numbers(**kwargs):
    if not _precalc_table: # it's empty, so haven't been generated yet
        for i in range(1024):
            _precalc_table[i] = i ** 2
# need to use registered instance for sender argument.
task_prerun.connect(_precalc_numbers, sender=tasks[PowerOfTwo.name])
If you want the function to be run for all tasks, just skip the sender argument.