I recently came across a problem where i needed to open jQuery's brilliant FancyBox plugin on page load. Unfortunately, i couldn't see a route to do this through it's own API, so i delved into a way round this using just jQuery's awesomeness.
In most cases, the modal you want open will be opened by a link on your page. With that gem of knowledge, you can simply tell jQuery to action a link on the page.
Here's my code :
<script type="text/javascript">
$(document).ready(function() {
$("#modal_link").fancybox().trigger('click');
});
</script>
When the page is loaded, and ready to rock and roll jQuery in effect clicks the link and Boom! your modal window is open.
Hope that helped!