As many users have discovered, setting reminders for all day events using the default times in the reminder selector means they may go off at weird times (like midnight),  which can be a problem if you sync with a PDA.
 
If you want them to go off at a certain time (like noon), type half days in the reminder field: 3.5 days or 5.5 days. Use .25 days for 6 pm or .75 days for 6 am.
 
You can also type any number of hours (43 hours) but that requires too much thought about what time the reminder will go off. :)