Alexa gets its rankings data from browsers that have the Alexa toolbar installed. That's a fairly small sampling, as well as a skewed one, as many Web-savvy individuals feel that having the toolbar is akin to having spyware on your system. Because of this, any info you get from Alexa needs to be taken with a grain of salt

The Alexa user base is only a sample of the Internet population, and sites with relatively low traffic will not be accurately ranked by Alexa due to the statistical limitations of the sample. Alexa's data come from a large sample of several million Alexa Toolbar users; however, this is not large enough to accurately determine the rankings of sites with fewer than roughly 1,000 total monthly visitors. Generally, Traffic Rankings of 100,000+ should be regarded as not reliable because the amount of data we receive is not statistically significant.