Thanks for all the helpful advice. Here is what has transpired since:

Dealer said there is only one car in the entire country that had all my specs, but it will cost me $3,500 more, since it is fully loaded, and he wasn't willing to drop his price at all. Talk about bait and switch!

I contacted Volvo to file a complaint. They said there isn't much they can do on a sales-related complaint, but said the dealer should have notified well before the month that my car wasn't going to be built. Volvo advised me to switch to the other local dealer, which I am doing. They said they would take care of me when I order an '06.

It is disgusting to me the way the individual at my original dealer treated me, taking no responsibility for the problem, and instead blaming me for wanting too many options. I was told that 6-speed really limits my choices, but that isn't something I'm willing to compromise.

The dealer still does have my car, by the way, so I'll be getting that back shortly.