At More traffic to your site, I briefly mentioned Alexa as one of the performance indicators I track to see how this and other sites are doing. I had talked about Alexa originally at Understanding Alexa and at that time honestly thought that it would fade away fairly quickly.
The reason for my pessimism is that Alexa needs to convince people to install its toolbar. If people don't see any value there, they aren't going to install it, and Alexa withers away. As there are many, many competing toolbars, Alexa has to work hard to hold its own.
Worse, Alexa's toolbar is Microsoft IE only. There is a toolbar from A9 for Firefox, but it doesn't provide quite the same features as the Microsoft version.
I have been using the A9 version recently: it does let me see Alexa site rankings, which is my primary interest. Overall, it really surprises me that Alexa is still hanging in there. In fact, they seem to be fairly strong: I see a fair amount of "Alexa Toolbar" in my web logs.
It is true that Alexa provides site tracking not easily available anywhere else. I can get the Google Page Rank for anyones's page, but that gives me no feeling for relative traffic. Alexa stats do tell me that - not necessarily with pin-point accuracy, but when combined with other information, I can get a pretty good idea.
I'm still not convinced Alexa can hang in for the long run, but it is interesting to watch, and they do provide information not easily available elsewhere.
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