The stock Weather Channel widget that comes with 2.1 has alerts. If you load the Large widget to the home screen it then ask you to set up an alarm pattern, ie. alert ring tone, severity of alert, etc.
The Weatherbug app has alerts, as does Palmary. I have yet to find one where you can "pick" what alerts you want.
Case in point: where I live we are under a flood advisory. Personally, I could care less. All I need are severe thunderstorm watches/warnings and tornado watches/warnings.