This is actually an old tip from my other blog, Antony’s Mobile Blog. I just transfer it here for completeness.
Don’t you know that you can set alarm on your phone even when it is turned off? This is a useful feature for people who usually turn their phones off while sleeping.
On the other hand, sometimes it may be an unwanted feature. A friend of mine had bad experience because his alarm ringing not in the “right” time (he has, of course, switched his phone off).

There is nothing special to setup this feature. Simply set alarm in the Clock application as usual. Then switch off your phone and go to bed.
Compatible devices: S60 1st, 2nd, 3rd, Nokia Nseries, Nokia Eseries.