I have been using this Alarm Clock application since 10.5 or so. Sadly, it does not seem to be generally available anymore, so I have attached it here. It still works great on Yosemite.
It runs in the menu bar, lets you do timer, alarm clock, or stopwatch. It lets you choose a song for the alarm with gradual volume increase. It was free when it was available, and I still have not found a better alarm clock application for the Mac.