Stuck away from home with a dead mobile phone battery, I needed an alarm clock—no sign of it in Date and Time.
The solution: use iCal on the MacBook. Set an event at the time you want the alarm. Set up an alarm action to open a suitably noisy audio file (which will open with iTunes if you have the default setup).
Make sure you set the alarm to go off on date (not 15 minutes beforehand as I first did). Make sure the volume is set high, headphones removed. Leave the lid open and, preferably, power connected.
The alarm will wake the laptop from sleep, and play your song.
Update 2009-02-15 In Leopard 10.5.6 the alarm does not wake your computer from sleep :-( In System Preferences >> Energy Saver >> Schedule, set your computer to wake a couple of minutes before the alarm goes off.
If you subscribe to any external calendars, set iCal offline — otherwise any alerts complaining that some calendar is unreachable will prevent the alarm from sounding.