Alex-
"Millennials" definitely don't know they are millennials. The first time I heard the term was in a marketing reserach journal. In fact, I don't think most Gen Y'ers realize the generational differences until they enter the workforce.
I also believe Gen Y should be segmented further. Even the technology education tools used in the classroom with my brother, who is just a few years younger than me, is quite different from when I was in high school. The generations after Gen Y will be intergrated with technology. Think of all the babies that are born and their picture is immediately put on the Internet by family. Their entire lives will be documented via the Web.
Looking forward to more.
-Carla