iCal's timezone support seems excellent to me, actually. (With the possible exception of syncing to an external device, which I've never done and don't have the hardware to test.)

The key thing to realize is that all times are stored in UTC internally. When you change your system timezone, iCal isn't updating the events it has stored. It's just changing the presentation of them.

If you're in EST and enter a noon appointment, iCal stores it as "1700 UTC". When you look at it in your calendar, iCal converts that back to your local timezone and displays it as "1200 EST". If you change your local timezone to PST, the time of the appointment stays the same (1700 UTC), but is now displayed as 0900 PST.

This is all exactly what I'd want. If I've got a noon conference call, the time of the call isn't going to change based on where I am--if I fly from the west coast to the east coast, I'd better start calling in at 3PM local time.

The "turn on time zone support" option in the preferences simply turns on some additional UI elements. It doesn't change how the calendar items are stored. First off, it gives you a drop-down in the upper-right corner which lets you select the presentation time zone. This is handy if you want to see what your schedule is going to look like from someone else's perspective. Secondly, it lets you set a time zone on calendar items.

If you set a time zone on a calendar item, this simply changes the presentation of the time as viewed in the info box (but not in the main calendar view). This is designed for setting up things like that 6PM dinner date in Toronto. You can enter the time as "6PM, Toronto time" in the appointment. It'll show up as 3PM in your calendar while you're on the west coast, so you'll know not to schedule any important calls at that time. When you travel to the other coast and change your system timezone, the appointment will now appear at 6PM local time. The actual time of the appointment hasn't changed at all, of course--just your perception of it.

Alarms, so far as I can tell, work exactly the same. If you ask for an alarm 15 minutes before an appointment, you get it 15 minutes before that appointment. If you got an alarm ringing at 6AM on the west coast while your calendar displayed it as a 9AM alarm, I suspect you had the calendar to display in US/Eastern while your system timezone was set to US/Pacific. This is exactly what it should do--the alarm went off as requested, at 9AM US/Eastern.

I can see that it might be nice to set something as occurring at the same time, no matter what time zone you are in. I don't really see this as a fatal missing feature, however. (And it would come with its own problems--whether or not it conflicts with any other scheduled items would change depending on what timezone you are in.)