I do use an alarm clock, but after going to bed at the right time for a couple of evenings, I start to wake up on my own, a little before the clock would sound. The alarm clock is just there as a backup, and to let me remain mostly-awake in bed for about 10-20 minutes longer before telling me to actually get up (as opposed to just getting awake).
ETA: I should specify that if I don't go to bed at the right time, I don't wake up naturally - well, I do, but so late that I'll feel groggy and generally inenergetic.
Hmm, I still don't know if I should be surprised or not, as I'm having trouble parsing your last sentence. When you go to bed late, do you not set your alarm clock? Or do you sleep through your alarm? Or do you wake up naturally (but groggy) right before the alarm goes off?
If it's worth saying, but not worth its own post (even in Discussion), then it goes here.