This a really useful feature provided by Nokia s60 and many s40 phones. But most people don't know it. You can hear your alarm even if you had switched OFF your mobile. This is quite useful for people who switch of their phones while sleeping.

How to do it?
Just go to your Clock application and set the time of alarm and switch off your phone. Thats it!. Now you will hear alarm at the preset time and your phone will be automatically switched ON at that time. You can also use the Snooze option.