Add an index or an identity column?

Take a look here: SQL Server 2005 Books Online - Replicating Identity Columns

Note:

Adding an identity column to a published table is not supported, because it can result in non-convergence when the column is replicated to the Subscriber. The values in the identity column at the Publisher depend on the order in which the rows for the affected table are physically stored. The rows might be stored differently at the Subscriber; therefore the value for the identity column can be different for the same rows