There's an interesting solution to this problem over at Stack Exchange, where user jaume presents two AppleScripts to accomplish this. The idea is to use the AppleScript to count the number of messages in the mailbox, then change the name accordingly, to something like "Messages (23)." The two scripts either change the names of a number of specified mailboxes, or of mailboxes whose names begin with the @ character. The script can be set to run via a Mail rule, such as every time new messages are received.
This is a nifty solution to a problem that many people wouldn't think of, but that can be useful in certain situations.

