Always! I never want to take a chance the hotel won't have one, or it won't work, or I can't figure out how to set it. I've been using one of these for years:
http://www.brookstone.com/microbeam-travel-clock?bkiid=SearchResults|CategoryProductList|842421p
Built in flashlight, lots of settings, nice alarm that gets slowly more insistent and has a snooze (and face lights up when you hit the snooze button). Has a "Locked" setting for when it's packed. Batteries last a long time. Only downside is you have to take off the battery cover to set the clock or alarm, but that's only a minor problem.
They make a version that doesn't have the flashlight, but I've never tried it.
Sayhello