There is a collection of very good articles on this topic, somewhere on the web.
I wasn't able to locate it, but it presents both sides of the argument, along with an actual study performed by the company that started this all (firing pin and bolt/slide face stamping).
It turns out, they declared their own technology to be incapable of engraving over 40% of firing pins (due to type of metal, shape, size, firing pin channel, or other factors), and those that can be engraved were rendered unrecognizable after as few as 5 shots (the firing pin engraving itself, not even the primer). And it is too easy for nothing more than normal use to obliterate or fill in the stamping on bolt/slide faces in a couple hundred rounds.
My favorite article, though... showed that 30 seconds with a file obliterated enough markings to render 100% of the firing pins untraceable.
Another study of bullet, primer, and/or case serialization had even worse results. In most weapons, almost 90% of fired components had no identifiably stampings. The remaining weapons had some identifiable markings, but not enough for tracing.
And... the argument is always presented with the serialized components... What happens if some one picks up your spent shell/cartridge casing, and reloads it? What if they just pick it up to plant it at a crime scene?