I want to create all the objects in the scene through scripting. That would be 1 camera, 1 light and 2 stretched quads with textures. The question is where do I put my code?
Is there an application-level Start() function? Or even better, a Start() function related to my particular scene. There are no other objects where to put my code, since the scene is empty at start.
You cannot execute code without having something existing in the scene. End of story. You could insert an empty game object with a single script to instantiate everything during Awake(), but unless you have something in the scene, nothing will be executed. There is nothing you can do about this.
I always create an empty object in the scene called God, and attach a script called God.cs. I use that script to manage all the top-level game stuff.