The '328p datasheet (here: http://www.atmel.com/Images/doc8161.pdf), section 19, page 176, is the place to start in understanding parity support in the hardware.
It looks like it both generates the parity bit on output and checks it on input. See 19.7.4 for Receiver Error flags.
One issue with the Arduino buffered serial input (since you're not managing it yourself) will be knowing which character was in error when the error flag lights up.
Good luck with your project.
-br