It's a wildly unreliable metric.
Being a GPWA member has a major effect on Alexa rankings. There is a high concentration of webmasters here with the toolbar installed, so if your site is in your signature and you post a lot, your rankings will be heavily skewed.
For example, Alexa claims that over 50% of my traffic comes from GPWA - the actual figure is more like 0.1%.
Alexa also rates the GPWA in the top 10K sites, which (with respect) is crazy. It's down to the high concentration of toolbar users.
Interested in quality, relevant link exchanges and deals, especially with UK sites.