I don't think some of you guys know why you would want to have a better Alexa rank. For one, if you went to sell your site you would probably make more money if you had a good Google PR/SERPs PLUS Alexa Ranking. It's easy to get a decent PR site...all you need is other high PR sites linking to you...still doesn't mean you are getting good traffic. Another good this is if you are looking to sell ad space on your site, people look at your alexa rank to see how much traffic you are actually getting [edit: I didn't see that someone already mentioned this].
This is a good idea...to a point. I've heard that if you install the
widgets on your site that it helps your rank. I've noticed a huge jump in my rankings since I have...it's all just in theory. But anything to make your site stats look better is a plus IMHO.
And to everyone saying that its no benefit to you to have your users have alexa toolbar you are crazy. Yeah, they may be surfing other sites but usually not the sites you are competing with. For me, I have thousands of loyal users and most of them surf my site nearly ALL day. As long as you have a decent site and people are surfing your site quite a bit, this will help.