I bought a Squeeze Box (via broadbandstuff). This thing totally rocks. It's fantastic - really, really easy to setup and use. It's got a really sensible and usable interface, which isn't crippled because you're using a remote control and not a PC. What's more, because it can connect to Internet radio, you can listen to enormous amounts of stuff from around the world (in addition to your own MP3 collection, of course).
The Squeeze Box can also double up as an alarm clock. Again, it's really sensible - it's got a "screen saver" which can show the time (and date). It's got variable brightness, and can even brighten up when you're using it, but dim down the rest of the time. You can configure a playlist to play when the alarm goes off, and even set the alarm volume too.
This thing is great - get one!