You can wrap it in another function:
initialize: function() {
var client = this;
this.socket.on('message', function(data) { client.on_message(data); });
In new browsers (or Node.js), you can also use a function in the prototype Functioncalled "bind":
this.socket.on('message', this.on_message.bind(this));
"bind" , ( "on_message" ) this.