Alexa, originally an abbreviation for Address Lookup EXperts Authority, is supplying the Internet Archive with web crawls as it was also doing in the past. Alexa (An amazon.com company from 1999) ranks sites, based on tracking information received from users who are using Alexa toolbar (sparky). Last year (April 16th, 2008) Alexa confirmed that, with their new system, they have more data sources for ranking, instead only the data from their toolbar’s users. Now the real questions is: “Is Alexa ranking unbiased considering a random sample internet users of sufficient size? Or is it a biased ranking from a random sample of some groups of internet users such as Webmasters, Publishers and Advertisers?”
Conclusion: Even if Alexa, is only being used by Webmasters, Publishers and Advertisers, then it is a ranking system provided as a measure of comparison between multiple sites.
Their toolbar is useful for showing the ranking for each site (working for Firefox, IE).
Use their widget in order to display Alexa ranking for your site (it is generally believed, that it improves your ranking if you have it)