With all the advanced software built in to todays cameras I would think that this could become a standard feature and could probably be implemented via firmware.
When auto-bracketing is turned on the system could append the relative exposure to the end of the file name. For example if the filename is DSC0012 a five step bracket should name the files DSC0012-2 DSC0012-1 DSC0012-0 DSC0012+1 DSC0012+2.
This would certainly help identify the photos as being part of a bracket. It could also be useful for numbering shots in a panorama but that would be more difficult unless there was a panorama setting on the camera.
Just a thought or suggestion to the powers that be at Nikon.
#2. "RE: Suggestion for Nikon vis-a-vis Bracketing" In response to Reply # 0
Colorado Springs, US
Unless it was implemented via an option you could turn on and off, it could mess up file renaming schemes that many photographers use. At least for me, it would break my current one, which is a fairly common one.
BTW, If I'm doing a landscape shoot and have sequences of bracketed exposures (usually for either a blend or HDR), I'll use the auto stacking feature of Lightroom to group them. I adjust the "vary time between stacks" slider so that the right photos group together (easy to do). In addition to identifying the sequences on the screen, you can also collapse them down so that only one image is displayed for the stack. This can be either the middle exposure or a blended or HDR result from the stack. Works nicely.