The Alexa redirect trick is a complete myth: and here's the proof
Alexa is a hideous site for most bloggers because it offers a "traffic ranking" of your site. Basically, it tracks each user who has their toolbar installed on their browser; monitoring which sites they visit and how they interact with them. With this data they create rankings and graphs to offer some enlightenment as to how your site fairs up against others.
Unfortunately it's hurrendously flawed as I wrote here back in January: lots of sites use your Alexa score as a metric for how popular your website is. However, it relies solely on users who have the toolbar installed (which is an Internet Explorer only thing I understand). Unfortunately Seopher.com has 65-70% of users on Firefox, so that's an immediate 70% of my traffic that they couldn't hope to track.

So how do you force them to see "the real you"?
There are a few reported tips explaining how to improve your Alexa rank by forcing them to see how much traffic you are getting. No one actually installs their toolbar, yet lots of places look to them to validate your claims of traffic figures. Well, there are two methods that surface time and time again and I've tried them both within the past year, so here are my thoughts.
Method #1 - Show the Alexa widget on your site
The logic behind this was that each pageload would ping the Alexa server for your information, thus indicating how many people are visiting your site. Unfortunately I had this on my site a very long time ago when I was receiving only 120 visitors a day and it made no impact on my stats. I kept it up for 4 weeks before taking it down - so that method does definately not work.
Method #2 - Get friendly with the Alexa-redirect
This is the one I've tried for the past 3 weeks. The logic is that Alexa *should* count the redirect as a page-load. So you put in the redirect (http://redirect.alexa.com/redirect?yoursite.com) then the user is directed to yoursite.com under the premise that Alexa should record the pageload.
So here is what I did
I created a 1px square iFrame on the site which loads an Alexa redirect into it on each page-load. This iFrame was positioned absolutely 1000px to the left of the screen so regular users wouldn't see it, yet it would be loaded whenever someone visits the page. The theory was that Alexa would then record every single pageload on my site and therefore thrust my Alexa rank through the roof.
The traffic I experienced vs. the Alexa graph
On October 3rd (the day after installing the item) I had over 13,000 visitors and since then it has been returning to my normal 1,700 a day. So traffic has not been low. Below is a graph explaining what happened.

It's fortunate that in late August I had another piece of content reach a similar level of interest so we can compare two near-identical phases, 1 without the Alexa redirect iFrame and one with. As you can see, the two are nigh-on identical.
Two similar periods of traffic, two VERY similar graphs
What more evidence do you need? If the redirect trick worked then the graph would have gone through the roof compared to the previous period of activity, it clearly didn't meaning that this is yet another Alexa trick that doesn't work.
So there you have it, adding in Alexa redirects does nothing to improve your Alexa rank (well, it certainly doesn't help when you're just above the 100,000 mark as I am; it may help those of you who are ranked 500,000+). It doesn't work so I don't recommend trying it because you're just forcing an extra pageload on your site that no one is seeing. So hopefully that myth can die here.
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