I should probably add to my post. I never installed the toolbar thing and most likely picked this Alexa stuff up from somewhere else...I believe Amazon also uses it and has done for ages.
As for whether it is spyware or not, that's debateable. Everything I've read about it suggests that all it is is a tracking cookie that will provide certain information to sites that have implemented Alexa. For example, you go to one shopping site using Alexa and search for something and then go to another site using Alexa such as Amazon and you may find that the front page now magically displays information about the stuff you previously searched for.
It's hardly malicious and certainly isn't one of these things that sits in the background on your machine hogging all your resources and broadcasting all your details out over the interweb.
However, I like most people take a dim view of anything that even remotely sounds like spyware or any sort of prying into my life, so I wont be installing this...and besides as already mentioned, doesn't work with Opera
Anything else you want me to support though, I'll at least have a look into it.