Marked Bullet: You can actually buy gun add-ons to engrave the flechettes (with elegant and situationally relevant haiku, even, in the case of the Eye-in-the-Flame Warrior-Poet Gun) – granted, it’s too small to read with the naked eye, and it’s almost impossible that it will be readable post-impact – as you fire them, if you really want to make a point of this sort of thing, but it’s not exactly a practical device.
(And anyway… like they say, it’s not the bullet with your name on it you should worry about, it’s all the thousands of bullets labeled “To whom it may concern.”)