For what it's worth, uri65, I've found one method that works for me. I found a song I wanted to use for the alarm, copied it out into a working directory. I then loaded it into Total Recorder PE (note, you must use PE for this, but you can run the demo version if your sample is less than 60 seconds (it puts a burp every 60 seconds)). (I'm sure there are other programs that will do this but I have and use TR a lot so it was easiest for me).
Once you've got the file loaded, use the controls below the track to select the first 59 seconds (no burp!), then select Process, Fading Effects, and put 59 seconds for the Fade in/Fade out interval (max of 99 seconds, but we want to avoid the burp). Now "Apply to selection", set Fade In, and click OK.
This will provide a serious amount of fade to the entire 60 seconds worth -- and the beginning of the track is barely audible even with the iphone volume at max.
Once you've completed this, do a File, Save As, and save it with a new name (I called mine "Fade In Alarm". Import this file to iTunes, sync it to your iphone, and set the alarm sound to this file. I think you'll find it a satisfactory (if not perfect) work-around.
Now if only Apple would split the volume controls we'd be fine! :-)
Cheers, Dallas