I am here in the US on an L1A visa and my wife and son (5 year old) are on L2 visas. My wife and I have Social Security Numbers issued. However, I was told by SSA that my son cannot get a social security number. We reached here in March 2010 and have not gone out of the US till this date. We are filing our returns jointly. I believe if I include my son as a dependent, there would be some tax relief. But is it possible to do that without a social security number? If so, how can I do this? Please advise.

You would need to apply for an ITIN number on form W7.
Attach the W7 to your tax return and send it to the address provided in the W7 instructions.
http://www.irs.gov/individuals/article/0, id=222209,00.html

Thanks for the answer. Does it mean I will be able to show my son as a dependent and claim any tax benefits for this return itself? Or I can do that only for the next year's return once I receive the ITIN?

You can claim him together with the return and the W7 application. In the box for the SSN write "applied for ITIN, see attached W7".
The ITIN office will process the ITIN application and forward the return together with the ITIN.
You might want to check with your state though, as some states allow filing without the ITIN and sending it once you get it, but some don't, so you might want to apply for an extension for your state return.

Thanks a lot.