An interesting tips from Johnchow.com:

Alexa rankings are based on users who have installed the Alexa toolbar onto their browser. If you do not have the toolbar running, you do not affect the rankings of the sites you visit.

… [it's very easty] to cheat the system. Just get a few friends to install the toolbar and have them surf your site everyday. It does not take many people to break into the top 100,000. You can even do it all by yourself by refreshing your site over and over again. Get a dozen friends to do it and you’re break into top 20,000 easily.

I haven’t done the John Chow’s trick yet.

If you want to get higher ranking in Alexa, download and install Alexa toolbar here for free (for firefox) and here for Internet Explorer