The Alexa toolbar (is what most people associate with Alexa) is a type of spyware. When installed on your browser it tracks your surfing habits.
One thing with alexa though is it can be used to help your traffic ratings and have some weight in googles eyes when ranking your sites.
Here's a post that you may want to read that goes into a little more detail about Alexa and how you could possibly use it to your benefit.
Alexa-Spyware or Ratings Booster