Alarms can currently go to an email, an iPhone, a twitter account or as a text message. Additionally, if you have a 3rd party app on your Android, you may be able to get an alarm through that app.
We do not current support desktop alarms, but it is something that we would like to have in the future. One way to do this now would be to sync Toodledo with a desktop calendar (like iCal on a Mac) and then get alarms through the calendar.