It's very inaccurate, not that it's a surprise to anyone but the ranks of some of my sites illustrate it well:
Site #1 - Alexa rank 38k - 300 daily visits
Site #2 - Alexa rank 197k - 500 daily visits
Site #3 - Alexa rank 2M - 1,000 daily visits
Shouldn't it be backwards?
Anyway, the only thing it indicates if there's traffic at all, I've no sites that would have an Alexa rank but no traffic. And it is possible to compare sites that are very related. SO it's not entirely useless.