While Aditya's answer is correct, it's only half the story.
init() is not part of the Servlet interface; it merely makes it easier to work with GenericServlet and HttpServlet.
The method that is part of the Servlet interface is init(ServletConfig config). Its purpose it to pass a ServletConfig object to the servlet (which is needed to perform number of things in the servlet). Since an interface can't specify that there needs to be a constructor with this parameter, it was made a method.