Because it gives us a good idea about the traffic the website is getting , gives the list of top backlinks and keywords the website is strong with in google search engine. I personally take alexa into consideration for my SEO clients and it has helped me alot.
Alexa is not the official page rank assigner to your website then why do SEO people rely on that?

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic