A normal practice is to make a 'loading room' whose only function is to initialize the game: setting variables, loading resources, calling libraries, etc. If it's global variables you need to set, do it in this loading room and then immidiately go to the first actual room of your game.
If it's local variables you're talking about, you're going to have to be more specific because I'm not following you completely. For a local variable you always have to initialize it in that object before you use it, usually in the create event. What situation do you have that you can't initialize in the create event for the object?