Simply put, this tells Alexa which sites are most important to Internet viewers, meaning sites can get ranked higher in the Alexa scores, and they get paid more in ad dollars. They are not there to track you as a person, not spyware, but rather a body of information on which sites are visited online. It's nothing more than circulation and demographic data.
While Alexa is a flawed system inherently (most Alexa ratings are ONLY from IE users with the Alexa Toolbar), it's like eBay and Paypal -- we really have no choice but to deal with the devil. For example, I have sites with Alexa Ratings in the 100,000-400,000 range -- it could be higher if my viewers simply had an Alexa report tool installed!
It's a harmless plug-in, shows you the Alexa ranking of sites in the browser footer (along with other plug-ins). As a site owner myself who deals with advertisers, I urge you do help out the Internet site owners out there. You can still block ads (Firefox AdBlock), but go ahead and at least add Alexa. It's the least you can do to support sites you visit. Especially if you end up visiting one of mine!
The helpful-to-sites plug-in is at
https://addons.mozilla.org/en-US/firefox/addon/5362
Pretty please with sugar on top?