Well, I don’t wear a wrist-watch anymore, but my Samsung i330 (smartphone with Palm) has an alarm, albeit wimpy.
You could also use AOLbyPhone which partners with some automated wake-up call service and have it call your hotel room and/or cellphone and set the most obnoxious ringer on your phone.
Or, you could just call down to the hotel and ask them for a wake-up call, but I find those pretty useless since they only call your hotel room and most hotel phone ringers won’t wake me up. So, this might not be a great option.
In the end, it’s a good travel tip: bring your own alarm if you need to be awake at a certain time. Or, tell the escort to stay the night and wake you up in the morning … but that could get expensive. 😛