I haven't looked at Alexa in ages so I'm not sure if they have changed their data gathering procedures or not. What I can tell you is how they used to do it.
They aggregate data from people who have their toolbar installed. In other words, if I have their toolbar installed and visit your site, that visit is included in the aggregated data. If I don't have the toolbar installed and I visit your site, that visit is not included in the aggregated data.
Since I refuse to install toolbars one can see how skewed the data really is.