I'm pretty sure that someone has built a program where you would set what time you want to wake up at, and the Zune would remain quiet until then. Then, it would turn on the music. I'm sorry, but I don't really know what I would search for to find it, so I can't really help you. Hopefully, someone else will remember what I'm talking about and be able to help you.
Edit: By the way, the way that I just described would require you to have on
head/earphones or have an external speaker while you're sleeping, and it would probably drain the battery quite a bit, so you may just be better off going with a dock.