We know for certain two of the horcuxes (the diary and the ring) as they've already been destroyed. Because the fake horcrux was a locket, I think it's safe to assume this is one, as well as the cup. That leaves us with two. I believe that Voldemort has used one of the remaining two to obtain his BabyMort form in Goblet of Fire. Leaving us with one. I don't think there's been more speculation or theorizing on any plot line in the Harry Potter series than the speculation and theorizing that has surrounded this final horcrux. I think it is a mistake to put value into Dumbledore's horcrux guesses. After all, he has a history throughout the series of ignoring or skating around the truth of Voldemort and Harry. Why should we presume that he's come entirely clean? I imagine that he had a suspicion that Harry's involvement in the final horcrux race would be more than seeker of artifacts. What if the final horcrux was Harry's scar? Think about it, in CoS Dumbledore admitted that it was entirely possible that Voldemort transferred some of his powers when the curse rebounded. And in OotP we're shown that there is a sort of psychic connection between Harry and Voldemort. But I think Voldy did more than merely pass powers and open a link. Why was it be so painful for Harry when Voldemort is around? Why was it so painful for Voldemort to possess Harry in OotP? The love in Harry? Maybe, but that can't be the sole reason (no pun intended). What about the psychic connection? That particular connection makes the most sense if you factor in that Harry houses a piece of Voldy's soul. But let's take a step back.
We know Voldemort went to Godric's Hollow on Halloween night in 1981 to kill Harry. It's safe to presume that he was planning to make his final horcrux that night. He used a spell that was blocked by Lily's sacrifice, and he was reduced to vapor. Up until the release of HBP, I had presumed, along with most other readers, that the spell he had used on Harry was Avada Kedavra. But we were supposed to assume that. Fake Moody/Crouch Jr. pointed it out in DADA that the only known person to survive the AK is Harry. But remember Crouch Jr. was not at Godric's Hollow that night, and he very likely knows nothing about Voldy's horcruxes. He also states in the same class that the AK is an Unforgivable Curse because it is unblockable. So it's not unforgivable because it's the killing curse but because no spell can block it. Why should we assume that Lily's sacrifice would work as a block? Because Jo wanted us to. Red herring! There is more than one way to kill a witch or wizard. Remember the Sectumsempra spell in HBP? Draco surely would have died from blood loss had Snape not come in and sewed up his wounds. What else do we know?
Slughorn told Tom Riddle, along with what a horcrux is, that a certain spell creates a horcrux. He did not say it takes a pair of spells. I do think that any murder causes a split in the soul. But while the AK may cause the soul to split, it does not remove the soul from the body. Hence, I think it's safe to presume that Voldemort did not use an AK on Harry that fateful night. While we don't know what the horcrux spell is, I believe it is a spell that not only murders the victim but obliterates that person. Then the energy from the annihilation goes through the caster causing the piece of his soul that split to be removed and subsequently housed in an object deliberately placed in the line of fire. This spell could reasonably be blockable. Hence, Lily's sacrifice caused Voldemort's spell to backfire on himself. Rather than Harry being annihilated it was Voldemort, causing the energy to go in the direction opposite of the artifact he brought with him. So what was directly in the path of this energy, carrying Voldy's soul? Harry.
I've heard several theories from people who subscribe to the belief that Harry's scar is a horcrux on how Harry will have to rid himself of that extra piece of soul. It varies from Harry having to throw himself through the veil at the Department of Mysteries to anchor Voldemort's soul on the other side to having a Dementor give him a kiss to extract the soul. None of what I've seen so far as to what Harry will do has gotten me excited or seemed plausible enough that Jo might take that route. I'm still open to ideas on how to close that particular mystery. But I'm convinced that Harry's scar is a horcrux, and I'll more than likely will remain so until DH is published this July.