Alexa isn't important. "Conversions" are. (A conversion being something that you wanted your customer to do). As Jasper mentioned if you get more visits to your site, your Alexa ranking will go up. However I'd spend more time working on squeezing the "juice" from each visitor and opitimising my site to do so with A/B testing and building sales funnels.
Take 2 scenarios
1) 1,000 visits a day and you get 10 "conversions" (sales / sign ups / enquiries / bookings whatever). Nice Alexa Ranking too.
2) 200 visits a day and you get 20 "conversions" ... Much better.. but no where on Alexa.
I find most SEO companies, marketing companies are only about option 1) ... That's useless. Option 2) is way more profitable... but takes more work, knowledge and dedication.
Everyone can see an Alexa rank... No one but the site owner will know (if they track) what the conversion numbers are.
Focus on conversions :)