You can also create folders on your SD card named "Alarms", "Ringtones" and "Notifications" and put sounds in each that you want to use for those, and they will show up in the appropriate lists.
I use a "gong" for my alarm clock, a sample of the "Jeopardy" theme for my calendar reminders, "message for you, sir" for my text messages, and blackberry "Eager Remix" (the DC Metro door chime) for my e-mail.