Hi Cat,
Alexa is a nice relative tool to compare your site to others.
It is actually a hidden application that monitors how many people enter a site through their browser add-ons.
So you have a lot of webmasters and internet professionals that have that hidden application installed. There are advantages and disadvantages for being part of this community.
Some believe the Google algorithm also uses Alexa rankings – might be a rumor.
Hope this helps,