Happy New year !!!
Although we only have already had around 9 hours of the new year here in South Africa, it seems that Apple have a bit of a bug in their Alarm clock app on the iPhone 4.
The bug seems to be that if you have an alarm set for today or tommorrow (2nd), the alarm does not go off. This seems to be affecting iPhone4 and iOS 4.1 & 4.2 users.
There is a work around however, and that is to set the alarm on repeat. So if you set it to repeat for a couple of days, it should fix the problem. You can use that, or just stick to the old alarm clock :)