This is from Geoffrey Madell's Mind and Materialism (Edinburgh: Edinbugh University Press, 1988) "It has been clearly recognized by some that the fact of indexical thought presents a special problem for physicalism. The problem is seen most clearly in in relation to the first person. Thomas Nagel put his finger on it in his paper 'Physicalism" (Journal of Philosophy, 1965). Let us envisage the most complete objective description of the world and everyone in it which it is possible to have, couched in the objective terminology of the physical sciences. However complete we make this description, "there remains one thing I cannot say in this fashion--namely, whcih of the various persons in the world I am'. No amount of information non-indexically expressed can be equivalent to the first-person assertion "I am G. M.' How can one accomodate the existence of the first person perspective in a wholly material world? A complete objective description of a particular person is one thing, the assertion, The person thus described is me is something in addition. But this information isn't of a character whcih physical science could recognize. If reality comprises (of) assemblies of physical entities only, it apperas utterly mysterious that some arbitrary element of that objective order should be me. (p. 103).
Madell spends an entire chapter defending this claim.