Its a ranking that says how important your site in based on authority and traffic. The lower the value of the Alexa rank, the better your site is. For example, Google must be number 1, just guessing.
According to alexa Alexa rank is based on number of visitors to a website and the website with less alexa rank means he have more traffic.
But Alexa rank is based on statistics from users of alexa toolbar so alexa is highly inaccurate.