As of 3.0, I would assume there's some application that can do this, but the default clock application cannot. I'd recommend searching the App Store for alarm applications and just reading the descriptions.
Note: While there may be an app that can do this, the drawback is that it cannot run in the background, meaning you would have to leave the clock app running the entire time.
If you're looking for an actual alarm clock, iHome carry some great alarm clocks that support using a custom playlist as your alarm when the iPod is docked. I've used one for a while with my 1st gen iPod Touch.