Even if there is no actual alarm clock program you can set a reminder which you can also program to ring to alert you. Yes, its a just a tad more complicated than an alarm clock program but it works.

With Nextel phones go to the date book and select "new event" or something like that. You set the time, give it a title, decide when you want to be alerted and select if you want an auduble alert. You can even program what days to repeat this "event" (weekdays, weekends, every monday, etc)