Google Analytics will be more accurate for your site but wouldn't
provide you with your competitors stats.
With all the data points Google has for websites - analytics, toolbar,
local business center, etc. I'm sure they don't place a huge emphasis
on Alexa traffic rankings. Maybe, at some point in the past it was
more valuable.
Quantacast offers demographic info on site's visitors in addition to
the traffic rankings that I find very interesting to use for other
marketing purposes- list procurement, geo-targeting, etc. but as with
any information if your not using it for anything then it's not worth
a lot.
Compete.com offers most of the same info as GA or Alexa but you get to
choose several competitors and they deliver a comparison report to you
on a scheduled basis - really just more of the convenience factor.
If you need to get competitive info for PPC campaigns you might also
try SpyFu.com. There is a free and paid version - I've never used the
paid version.
I also like using Google Trends for key term search trends and
HubSpot's website grader for a quick glance at any site's SEO
efforts. I wouldn't use HubSpot as my sole means of SEO research but
I think it's a really good tool to use for benchmarking.