It is very important to understand that there is no way for external metrics tools such as Alexa, Compete, Ranking, Netcraft, etc. to provide accurate data. Their information is collected from their respective toolbar usage. Alexa has the broadest distribution, but there are still a lot of people that don't use those toolbars or browser plugins. Their data is particularly useful if you are in a technical field: search and affiliate marketing, web development, etc. A large portion of your potential visitors probably have one or more of these toolbars installed.
A while ago, there was an interesting project regarding the efficacy of those metrics.
Conclusion – The Value of External Metrics
This survey represents only a tiny sampling of sites in a niche sector, albeit a relatively popular one in the blogosphere and webdev/tech space. Based on the evidence we've gathered here, it's safe to say that no external metric, traffic prediction service or ranking system available on the web today provides any accuracy when compared with real numbers. Incidentally, I did log in to Hitwise to check their estimations and although I can't publish them (as Hitwise is a paid service and doing so would the violate terms of service), I can say that the numbers issued from the competitive intelligence tool were no better than Alexa's in predicting relative popularity or traffic estimation. The sad conclusion is that right now, no publicly available competitive analysis tool (that we're aware of) offers real value. Let's hope withing the next few years, better data will be made available.
What is the problem? In statistics, when you need a sample that represents the entire population that you are measuring, data is collected carefully and completely to avoid any bias. Unfortunately, there is no way to configure the toolbars of sites or people grouped in similar samplings. Users install them at will and the ones installing them are usually advanced users (Not your typical gardener).
Why use the data then? In my case, the content on my blog is highly technical, so there is a high probability that most users have the Alexa toolbar or the browser plugin. For comparative purposes. By comparing my blog's Alexa to a blog directed at a similar audience (seobythesea.com) I was able to tell if I am in the right path.
Should you use it? How technical is your audience is the right question to ask yourself. If you target casual readers, it might not be very useful.