I know this was a while back, but I just found a way to do multiple alarms on the Bold. You can set only one from the clock function, but if you go into calendar and click on menu, there is a command for "new alarm". You can set as many as you want, one time or reoccurring. Then you can show them or hide them in your calendar by going into options. I'm now able to have one alarm for weekdays and one for weekends. I don't see a way to have different tones for different alarms, but that's ok.
Hope this helps someone.