Why Are Alexa Rankings So Wrong?

I was checking the Alexa rankings of a few of my sites today, and was surprised to find just how far off the mark they are.

This site, for example, ranks something like 1.3 million in the world -- not bad, actually, considering the billions of websites out there and considering that I do precisely zero to promote this site. One of my other sites, with about the same amount of traffic as this one, ranks somewhere around 600,000. My "Big Dog" site, the one that gets ten times as much traffic as this or the other site in question, ranks around 800,000.

Sorry, but that makes no sense at all. I know that Alexa tracks these things through their browser toolbar, but apparently the group that uses it is not entirely representative of the Internet community. Maybe Alexa gets more accurate as you move up in the rankings, but I have to wonder.

I don't trust them or any other external tool that pretends to know how much traffic my sites get. Only I know that... well, I guess Google knows it for the sites that use Google Analytics.