some_class.rb

class SomeClass
  def initialize(options = {})
    load_config
    set_options(options)
  end

  def load_config
  end

  def set_options(options)
  end
end

test_some_class.rb

require 'test/unit'
require 'some_class'

class TestSomeClass < Test::Unit::TestCase
  def test_initialize_calls_stuff
    foo = Class.new(SomeClass) {
      attr_reader :shit_called
      def initialize *args
        @shit_called = []
        super
      end

      def load_config; @shit_called << 'load_config'; end
      def set_options(*args); @shit_called << 'set_options'; end
    }.new

    assert_equal %w{ load_config set_options }, foo.shit_called
  end
end