1. Alexa measures the traffic from only who have installed alexa toolbar.
This is the biggest myth, because alexa never only measures the traffic generated by alexa toolbar instaled users. Alexa always measures traffic by any visitor. Alexa toolbar is just one of many widgets that shows rank of the website that you are in.
2. If my site goes up today, it will stay up and improve in the future.
It seems to be pretty real, but it isn't. Lets take an example if you win a running race today, and tomorrow you cross the line but someone else wins the race. The same thing happens in alexa too one day you might be in the forefront but in the future you might improve or you may spoil your rank depending upon what you do.
3. Putting good things about alexa will improve my rank.
This is nother stupid myth, at first even I thought that this would be real, because it seems pretty reasonable that if you praise about alexa for free the it would increase your rank. This is the biggest myth about alexa. Because putting good things about alexa on your blogs wont increase your rank.
So that's it hope you would have helped you, fell free to comment about your views.