I've got some sites that are 'quantified' with Quantcast (have the tracking code) and the numbers agree within a few percent with other analytics: that's for sites that get anywhere between 50 visits a month to 500k.
If you're not quantified, Quantcast is a joke and the other sites are always a joke, no matter what. There was a long time when Alexa thought the top 20 sites in the world were all in Korea because, I guess, everybody in Korea had the Alexa toolbar. One day they changed their formula to prevent this because people were pointing out that their stats make no sense.
Compete, in particular, has a free service that's designed to annoy you into paying for the service, but everything I see on their free service and on their blog convinces me that the paid service is worthless... For instance, they had nothing to blog about one day, so they blogged that "Girls Gone Wild" gets 30% of its traffic from women... Everybody knows that systems like that use 50-50 gender statistics as a bayesian prior, so they always claim that sites have more balanced audiences than they really do.