For slightly earlier iPods--that first- and second-generation iPod nano I mentioned earlier, for example--you follow this path: Main -> Extras -> Clock -> Your Clock -> Alarm Clock -> Sound. To set the time, back up a screen, select Time, press Center, and enter the time.

On really early clickwheel iPods (the iPod mini), go to Extras -> Clock -> Alarm Clock -> Sound and choose Beep or one of the playlists on the iPod. Back up a screen and you can set the time.

If you intend to play a playlist you'll naturally have to plug the iPod into headphones, amplifier, or powered speakers. Or you can use an iPod-compatible alarm clock that has alarm features of its own to play the iPod's music.