Just got my Droid Wed via customer service and calling in. Anywho, getting it setup still. I noticed when I set the alarm clock, it didn't seem to go off the other day. Thankfully my old Samsung Omnia went off, else I would of been late for work.
Welcome to the forums
I haven't looked, but isn't there a way to set the volume of the alarm? Can you use Locale for that?
Also, if you have an alarm set, it should show you on the lock screen the next date/time it will go off. I tend, out of habit, to check that every night before I go to bed.