Alexa Ranking is a ranking system set by alexa.com (an amazon.com subsidiary) that takes a look at the public frequence of visits on various websites. It's a form of audit that's based on the amount of traffic that gets recorded from users that have the Alexa toolbar installed on their browser over a period of three months.
That's the short of it.
Alexa Ranking comes with its benefits like helping webmasters and advertisers see the true marketing potential of their website. The lower your rank, the better your doing and the better you're doing, the more money you can earn in advertising.