Lets say you have a list of the sizes of each array, then you can use a comprehension:
julia> l = [ (2,2), (3,3), (3,3) ];
julia> m = [ zeros(s) for s in l ]
3-element Array{Array{Float64,2},1}:
[0.0 0.0; 0.0 0.0]
[0.0 0.0 0.0; 0.0 0.0 0.0; 0.0 0.0 0.0]
[0.0 0.0 0.0; 0.0 0.0 0.0; 0.0 0.0 0.0]