If you have a pass code set, when the Alarm Clock sounds and you slide the "Slide to stop alarm" slider it unlocks the phone without requiring or requesting the pass code, giving you full access to the phone.
I have reported the bug to Apple via bugreport.apple.com.
Anyone else confirm this bug? On my 3G it's 100% repeatable.
iPhone 3G 16Gb, iOS 4, waiting for iPhone 4 in Portugal...