Alexa has made many changes of late and if you haven't tried it out recently, you might want to take another look. I find it particularly useful and interesting (if you know how to read it and understand the caveats). I've made thousands of dollars out of being able to read Alexa properly! I've provided some Alexa tips in this article.
One of the importance of Alexa is with advertisers. They use Alexa data (some use just the Alexa rank!) as one of the inputs when deciding how much to pay for banners and text links. Several advertising programs have Alexa configured into their algo and taking a few small steps to increase your Alexa rank could pay dividends if you're selling advertising on your site.
A long time ago there was a initiative where people submitted their Alexa ranks and their traffic figures and this data were compiled into a chart with a regression analysis. By looking at it you could get a rough idea of how Alexa rank translated into traffic ... and vice-versa. For some reason that was discontinued. I think it was because there weren't enough people submitting the info needed to compile the chart - there were just a few hundred. All that remains is an archive page.
Volume of data is the problem. You need several thousand webmasters to provide their figures if you want to get a reliable picture.
But maybe I can do that. I have data from tens of thousands of Flippa listings - the Alexa rank along with the claimed traffic. I'll plot these points on a chart and provide a regression. Then I'll publish it on this site. Obviously some of those claimed traffic figures will be false but given the tens of thousands of data points, this should be interesting. Some uses of the chart? For example, that a particular site falls below or above the regression - and the extent to which it deviates from the average - is an indicator of the kind of traffic it may be skewed towards. A webmaster forum, for instance, would show a higher Alexa rank than its traffic merits.
Just thought I'd let you know that we're working on this. Any suggestions and ideas you'd like to input would be gratefully received.