How accurate is Alexa. For example if I go and look there at the traffic on my site and compare it to a similar site is the traffic it showing accurate?
I agree, I gave up looking at Alexa a long while ago. Much better to track your sites performance by watching your position within the search engines (mainly Google) and using your site stats.
Alexa is a great tool as long as you only use it to give you an indication of how you compare to a similar site, don't take it as gospel. As webit said, it only collects data from those with the toolbar installed.