when you say initialize do you mean create a partition?
If I am correct, that is what initializing does in Windows.
If that is what you mean, go to Disk Utility, select your drive on the left, then click the partition button at the top (or the erase one if partition is greyed out or something like that).
Afterwards, click the plus at the bottom, enter the name, format, and then hit apply.
If you choose erase, just enter partition name, choose the format/partition scheme, then hit erase
Initialize is not the same as create a partition. The drive has to be "initialized" before the os can determine whether there are any partitions/volumes on the drive. But thanks all the same.
The actual answer is to use the disk utility erase feature. It apparently mounts the drive and then erases whatever it finds thereon and then remounts and "initializes the drive". When a new bare metal drive is connected to both Windows and OS X a message is launched asking you to "initialize" the drive. Once it is "initialized" you can create one or more partitions or none if you are going to use the drive in a RAID configuration.