when you power on the aTV (or do a reboot), you get a black screen with the apple logo for a moment, then it goes right to your home screen. If you're seeing something else here, you've jailbroken or done something outside of normal operation.
The application that's open when you put your aTV to sleep will be there when you wake it up. So if you're looking at a picture and leave it up when you turn the aTV off, the picture will be there when you turn in it back on. So if you don't want to see it, make sure you exit out before you put it to sleep.