Why is AUG the initiation codon?
A good question (if a little mixed up on transcription vs. translation!)

AUG is not always the start codon, but whatever the codon is it will always code for Methionine (or fMet, but still a variation on Met), even if the codon codes for a different amino acid otherwise. A  separate transfer RNA (tRNAi, the initiator tRNA) is used for the arrangement of this first step, guided by eIF2 [in eukarya].

In this respect it's less a question of "why AUG" than "why this specific initiator tRNA", the answer being that it's got certain sequence elements and modifications that distinguish it from the elongating tRNAs which bind elongation factors and hence are targeted to the ribosomal A and B sites instead of the ribosomal P site (with function being dependent on form, basically it's shaped to set up transcription rather than to elongate an existing nascent chain polypeptide).


  "Identity elements appear to finely tune the structure of the initiator tRNA, and growing evidence suggests that the body of the tRNA is involved in transmitting the signal that the start codon has been found to the rest of the pre-initiation complex." — Kolitz and Lorsch, 2010


The other start codons are just from natural chemical variation (or evolution, whichever way you want to look at it) giving rise to different codon-recognising protein shapes.

The machinery for starting translation works, and as such is "conserved" - evolution has kept it, and that's why it is always the same codon (more or less). Archaea have a very similar shaped tRNAi acceptor stem, and is an equally good ligand, which shows how ancient the system is and gives an idea of how fundamentally difficult it must be for an organism to change a system like this through mutation (3.5 billion years of evolution can't be wrong! etc. haha).

Not to just gloss over the part where I said that non-AUG codons get used too (in yeast and mammalian cells), the following is from a study in which it was found changing 1 (and only 1) of the AUG bases still permitted translation initiation:


  "Naturally occurring misrecognition indicates that discriminating two base-paired near-cognate codons from the perfect three-base-paired AUG
  codon is subject to mistakes. Mutations in translation
  initiation factors, such as eIF1 and eIF2b, further increase the levels of these mistakes.
  
  Two base-pairing interactions between non-AUG codons and the anticodon of
  the Met-tRNAi are sufﬁcient to trigger translation initiation, suggesting that wild-type eIF1 plays a role in
  monitoring proper base-pairing interactions when scanning for the AUG start site. It would be predicted that
  the Met-tRNAi, not a cognate tRNA matching an individual non-AUG codon, is used in translation initiation at these non-AUG start codons.
  
  The translation initiation complex will bind only the Met-tRNAi as
  opposed to other tRNAs because Met-tRNAi has unique
  sequence and structural features that allow it to be
  loaded onto eIF2 of the ternary complex and enable it
  to ﬁt into the P site of the ribosome" — Maduzia et al, 2010


Basically the consensus is that it's not really possible to say why the methionine codon, "it's just a structural thing", which is a bit of a circular argument really.