Well, IF the alarm works (that's another issue...) then it works really fine with my speaker dock (one of those round jbl thingies).
The alarm has to be on, the time etcetera has to be set, sound or playlist has to be set, and the dock should be on. And then it really does work, no problem at all.
Now I still have to figure out why Apple gives us the opportunity to create more than one alarm (and more than one clock) - with more than one alarm iPod just goes berserk and seemingly cannot figure out any more which alarm to use and remains totally silent... annoying indeed.