Hi,
I have a Vita Audio R1( http://www.vitaaudio.com/products/r1) in the bedroom, not cheap but fantastic DAB radio which produces a superb sound. You can set the alarm for a totally different volume to the one playing, it can be set for weeks, days or weekdays and comes on quietly getting louder to the set volume. It can also come on at a different station to the one you were listening to. The only criteria it misses is you have to push the button twice to cancel an alarm that is set!!!! (no great shakes) All in all I don't think you will get a better radio if you can stomach the price. (I also have an R2i in the kitchen which has all of the above plus an iPod dock and remote)