David Maraniss' new biography of Obama tells us that Barack, upon reaching adulthood, began asking himself whether he was an American, whether he wanted to be an American. http://campaign2012.washingtonexaminer.com/article/new-biography-obama-asks-am-i-american/526196
We know that his wife was never proud of being an American.
I think the most interesting question is what Obama will decide. When it's all said and done, will Obama choose to be an American?