I have had my Droid for a little over a week now and last night I wanted to set a calendar reminder for this morning. I did a test and when the time came, no "alarm" sound went off, even though I had Notification ringtone set and the volume set.
I tried installing another calendar app from market. I got the same result. I started experimenting and found that using the Ringer Volume setting, you can set different volumes for Notification and Incoming call, so I set incoming call low (I always use vibrate) and Notification about midway. Still no "alarm" sound. I found the only way to get that "alarm" is to take the ringer off vibrate (using the volume control on the side). This gives me the vibrate with the ringer on so low you can hardly hear it, and it allows the Notification "alarm" to go off.