Its kinda like weed. IF you dont know for sure what strain it is, its "Bagseed" or "Unknown" but you can make a good guesstimate of Indica, Sativa, or rudaralus dominance.
IF its mild to Hot ... Its likely in the Capsicum Annum genre, IF its Really Hot, to Unfit for Human consumption way too F****ing HOT... than it could be Capsicum Chinensis [which its the wrong shape for] or Capsicum frutescens.
It kinda looks like a Tabasco.... which limps in at a weak 5 of a 1-10 scale where Bhut Jolokia is a 15++
http://www.chetbacon.com/peppers/Hotpeppers.html
http://www.chilepepperinstitute.org/chile_information.php
YES you can save seed. Simply cut it open, and dry the seeds on the counter in a paper towel or coffee filter.
However, if you dont know what it was
OR what it was crossed with.. generally any other pepper within 10ft away... then there is no garauntee the seed will produce the same pepper. IF its Hierloom, you have a better chance. If its a hybrid, it will likely revert back to the dominant variety it was crossed with.
Definitely its not a Bhut Jolokia... it doesn't have the knobbly bumps, and most people remember special ordering those and paying 50 cents per seed.
Defitnly not a Federal Agent Pepper.. which looks exactly like a Federal Agent.....