The clock app in One UI 2.1, which comes pre-installed on the Galaxy S20, Galaxy S20+, Galaxy S20 Ultra, and the Galaxy Z Flip, supports Spotify integration. This means that you can play your favorite songs as your alarm tone. You can find this option under the alarm sound section of the clock app's settings.
For this feature to work, you need to have Spotify installed on your Galaxy S20. If your country doesn't have access to Spotify, the feature won't work. If you have a phone that's running One UI 2.0, you won't have access to this feature.
Expect the feature to be rolled out to more Samsung phones as a part of the One UI 2.1 update. If you want a similar feature on your older Samsung device right now, you can install Google's free Clock app from the Play Store. Apart from Spotify, it also supports other music streaming services such as Pandora and YouTube Music.
