I bought a cheap "Clok" at Target. It's a standard clock radio with an iPod port. Cost around $20 (ish). Works fine, but I get an iPhone incompatibility message. While some might fine this really annoying, I like to put my phone in airplane mode at night (because sometimes my co-workers in other parts of the world miscalculate the time difference), so I think the "this device isn't designed to work with the iPhone" message is a feature since my device gives me a prompt to put it in the mode that I'd put it in anyway without having to dig through menus.
The one that I use is this:
http://milo.com/clok-smooth-ipod-docking-clock-radio-tcr368
It has one more "feature" which is that it fits pretty much everything that Apple makes with an Apple connector using these plastic inserts that it comes with, but with my iPhone case it wouldn't fit with any of them, but you can remove all the inserts and just use it without them and it works great with my case (although it's a bit flimsy that way). So that's nice too that you can use it with pretty much any case out there by adjusting the plastic insert pieces that it comes with.