I can't believe the number of posts and phone calls I get with inquires on the Alexa rankings. A thread at HighRankings is discussing this now, so if you don't believe me, ask them.
Alexa ranking information is terribly skewed and shows a false representation of the actual traffic rankings on the Internet. The sole reason that the data is skewed is because Alexa obtains its statistics from people who have the Alexa toolbar installed. How many average Internet users surf with the Alexa toolbar? I don't, you might but I expect some of my readers to have it installed - you are search enthusiasts.
I enjoy looking at the figures, comparing very similar sites but that is all. Make sure to understand how the data is obtained before using these metrics. This is a common statistical accuracy problem. There is a academic term for this? Anyone in academia?