I have a Sonic Alert vibrating alarm clock at home and I think I have occasionally seen pillows with the vibrating device built in, but I like this concept design from Seung Jun Jeong at Yanko Design.
Essentially, you pull out the tab to tell the pillow when to vibrate. It seems to count down the hours and then begins vibrating at the time you want to wake up.
It's a cool design. I don't know if I'd like the vibrating right under my head, though. My current alarm clock's vibrating device is under the mattress on the other side of the bed. It's still strong enough to wake me.