I know of two free ones - you won't even have to download them! Well, sort of.
You can set iCal events in the Calendar App, and give them multiple alarms and messages. They'll buzz or w/e when their time is due. You can sync these with MobileMe, or iCal on Mac (not sure about Windows) and they'll buzz your Mac as well. View it in list format, and it's basically a to-do list.
Or just use Clock's Alarm...
No third party app can use alarms, since they can't run in the background.