It has no value! I hate to think how many times you see in webmaster forums people asking advice as to how they can improve their Alexa ranking. I can never understand why they would want to. A good or bad Alexa ranking counts for nothing.
Alexa rank websites based on the number of visitors to a site with the Alexa toolbar installed in their browser. They claim over a million users, which is impressive, but the pool of user is probably a more technically orientated group of users, so the Alexa rankings are obviously going to be biased towards the sorts of sites that more technically orientated people visit. It is also so easy to fake an Alexa ranking, simply by visiting your own site every day (and get a few friends to do it as well). Even if your Alexa ranking improves, it does not mean anything. The search engines do not use the Alexa data.
Perhaps the only advantage to a good Alexa ranking is that if you want to sell a site, you can increase the Alexa ranking to impress a future purchaser about your traffic. Too bad most buyers are wise to this sort of manipulation. What do you think will happen to the Alexa ranking after the sale?