Even more important than setting alarms is actually getting up when they go off. A really bad habit to get into is the habit of sleeping through alarms. Never set an alarm unless you need to get up, and always get up when you set one.
In college, I once climbed out of my loft, walked over to my desk, turned off my alarm, climbed back into bed, went back to sleep, and didn't remember doing so when I woke up.