Try the [Apple feedback page|http://www.apple.com/feedback>. However, note that this is unlikely to be added. It would be a very cumbersome feature.
On Windows, you're almost guaranteed to be tied to a particular set of document creation tools. If you're using an office suite other than MS Office, you're so weird you might as well be using a Mac! 🙂 This means that commands like "New Document" make sense there.
On a Mac, a "document" could be created with MS Word, Pages, TextEdit, NeoOffice, OpenOffice, Mellel, Nisus Writer Marinter Write, or any of a host of other programs. (Mac users tend to put less emphasis on the popular tool and prefer to use the tool that "fits the hand" best.) Further complicating things is the fact that "document" is a very generic term, since every spreadsheet is a document, every Photoshop file is a document, etc. The contextual menu would rapidly become unmanageable if it had to fill up with "New Whatever Document" commands for every app on your hard drive!
It is possible for you to add your own custom services to the contextual menu using AppleScript or Automator, and you should be able to create services to create new documents for the apps you use frequently. Check on the [AppleScript forum|http://discussions.apple.com/forum.jspa?forumID=724] for guidance on how to do this.
