I came to US on L1 in OCt 2009 and hence do not qualify to be a resident alien for the year 2009.

Should I file 1040 NR or 1040 NR EZ as anyway I cannot claims deductions for my wife or son?

Also can I apply ITIN for them in this year?

Choice 1: You can file non-resident tax return. Claim moving expenses.
Choice 2: You can file resident tax return as Married Filing Jointly. You will have to wait for 5 months to file your tax return till you meet the Substantial Presence Test in 2010. Your U.S. Tax Return: Substantial Presence Test

You will get standard deduction of $11,400 and exemptions ($3,650 each) for both of you and the kids. You will also get child tax credit of $1,000 each.

You must both declare your worldwide income for 2009. If you have any foreign income, and on that income you paid taxes in the foreign country, then you can claim foreign tax credit (Form 1116) or you can use Foreign Earned Income Exclusion (Form 2555). Your U.S. Tax Return: U.S. Citizen or Resident with Foreign Income

You will complete forms W7 (application for ITIN) for your spouse and children and attach with your tax return. You can also deduct moving expenses. Use form 3903. Your U.S. Tax Return: The U.S. Visas

File state tax return only after you get ITIN. Make sure to pay any tax due on or before April 15, 2010. If needed, file for extension.