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In python 3.2 this works and prints <class '__main__.Test'>,
in cpython hg: 71296:ab162f925761 it fails with:
 NameError: global name '__class__' is not defined
Since this change is not documented I assume its a bug.
--- snip ---
class Test:
 def __init__(self): print(__class__)

checked for docs here:
http://docs.python.org/dev/whatsnew/3.3.html 

No, this is consistent (again) with Python 2.

Shouldn't it be documented that it changes still? - since people are using pytjon3.2 and its a stable release, _any_ breaking change should be documented IMHO

Unless you can point to a place where the behavior that was fixed is actually documented, this is classed as an implementation detail that was changed (or, more likely, a bug that was fixed). If this were less obscure or had been in existence for longer, there might be an argument for documenting it, but I'm surprised that anyone noticed this variable, since its existence is not in keeping with how Python works in general. In fact, it goes completely against my Python intuition that it worked at all. (I suppose that someone newer to Python would be more likely to find it by accident...)
That said, it is certainly not obvious from Misc/NEWS that this variable went away, so it was presumably fixed as part of some other change. Given that we *do* have a bug report about it, we should consider if it should be documented somewhere; perhaps an addendum to the relevant Misc/NEWS entry, and then the What's New author can decide whether or not to include it.
(As an aside, note that What's New is not kept up to date, it generally only gets filled in closer to the release date.)