MK,
If you are trying to compare traffic of competing sites, or sites in
general, than Corey (And you) are correct, Compete.com is fast
becoming a great tool for comparisons. In addition as Corey
mentioned, you could opt to fork over $$ with Hitwise, however they do
cost money. Hitwise is awesome though, they are analytics on
steroids! You can choose several packages, and industries, it's up to
you. They can give you up-stream and down-stream historical data
which is awesome, they can tell you which websites your competion's
visitors left, and clicked on, and give thoughrough traffic analysis.
If you want a "poor mans" opinion, TRY the FREE Google Adwords
Planner:
https://www.google.com/adplanner
I have used this already on two clients, and although not as robust as
other tools, you can get access to the top sites traffic etc depending
on demographics you choose, as well as websites you want to evaluate.
Another tool is
http://www.spyfu.com/ to compare competitors PPC
campaigns, and organic traffic. Hope this helps!