Apple - Create new file from contextual menu

If you are happy using a toolbar button instead of the contextual menu, you can use New Text File Here from Jonas Wisser. Just drop it into Finder's toolbar.

Note: As of OS X 10.11.4 this program no longer seems to be working.

Path Finder also adds a contextual option for creating new files, but it's shareware. Lots of other cool feature though.