Well, you're not alone if it does, and according to Nikon they all do to some extent. The "rattle" originates in the flash housing, and occurs when the flash is locked down. With the flash opened up, it dissapears. Here is what is happening.
The noise is created by two small, metal articulating arms on either side of the flash. When the flash is opened, they hold the flash in place. But when it is closed, they fold up and lay loosely inside the flash housing. There is a joint in each arm that must have a lot of play in it when the arms are folded. When the camera is shaken with the flash down, the loose joints allow metal to metal impact to occur, which generates the rattling noise. When the flash is up and the arms extend, tension is placed on those joints, tightening them up, eliminating the play and silencing the noise.
According to Nikon, they know about it and consider it a non-issue since "it has no impact whatsoever on the performance of the camera." They would be right for still photography only. But, the D800 is also a video camera, and the flash housng is right next to the built-in microphone. This is where a problem can occur, depending on how loud the rattle is.
On my first D800, the rattle was very loud - on par with shaking the ends of the metal connectors for the strap trying to make noise. When I first opened the box, I thought something was broken inside the camera. I didn't have to try and hear it, it was plently loud to get my attention. I recorded a video to see if it would be picked up in the soundtrack, and it was much worse than I thought it would be. The built-in mic picked it up loud and clear. (And no, I do not normally shake the camera when I shoot video.... but for $3K it should be silent!!)
I had pre-ordered the camera from onecall.com so I called them up, explained the situation. They were great to deal with, and amazingly they had one extra D800, and agreed to send it to me as a replacement, which I have now had for several days to play with.
My second D800 is much, much quieter, but it is not silent. I have to really listen for it, but I can still hear the arms moving inside the housing, but it's nothing like the first D800. I have also recorded video with it, and I do not hear anything in the audio. Clearly the first camera had a defective part that made the noise much worse than a normal D800.
The message is, again according to Nikon, all D800's will have some noise from these arms. The Nikon rep I spoke with had a D800 in his hands and said he could hear it in that one too. But, I have experienced one camera where the level of noise was unacceptable, and I'm glad that I was able to get that one replaced, and didn't decide to just live with it.
So, if your D800 rattles, don't be suprised; but if it's really bad, you may want to pursue it further.
This D800 is my first Nikon, my first DSLR (shot film for the last 40 years), and I waited a long time to get it. But, in spite of the hiccup with the first camera, I love the D800 - it is an amazing piece of technology! With my second D800 the noise really is a non-issue, and I am thrilled to be the proud owner of one!
Many thanks to my fellow Nikonians - I did a lot of reading on this site before deciding on spending the extra bucks on the D800. Your knowledge and wisdom were invaluable!