They need to start working with companies like Google to use Analytics as a clearing house.
Then you get issues with what and how people are instrumenting. For example, if you instrument a carrousel you'll get a lot of page "loads" which don't necessarily correspond to page loads or ad impressions.
I decided with my business to consolidate on google analytics, so I removed their code. It resulted in a HUGE drop in their traffic reports - about 20%. We went from 440K of unique visitors to 305K just after the changes, and google analytics shows (and our revenue shows) the exact opposite.
By comparison, google tracking code is unfortunately massive. It sets a ton of cookies, which are then sent with every single request to your server. Wasting bandwidth. It's worse if you have it on subdomains, since then it'll set even more cookies, and send even more crap to your server every single request.
For a website with a large number of reloads, or ajax or comet, this can be a complete killer.
I know this because it happened to us. We contacted them about it but they have no solution,they don't seem to think it's a problem since "most of the time" their servers are up and quite fast. Marketing requires the tracking, so our solution is to host their javascript on our server and run a cron nightly to redownload the code from their servers in the hopes that we'll never get so far behind that the tracking stops working. So far, so good.
Google, on the other hand, offers an asyncronous, non-blocking solution. Much better.
But the tracking code is small. It's not going to make much difference at all IMHO (And anecdotally in my experience).
Async vs sync, you're still going to have a DNS lookup, and an initial GET unless it's cached. Both can block your site from loading...
But, if you don't sign up, they'll still "measure" your traffic and come up with results that are no better than the other web traffic rankers. I don't know why anybody takes sites like these seriously anymore. Everybody I've met who had a website with decent traffic has said that these sites are always way off. I'd imagine that Alexa's main reason for reporting a ridiculous statistic like % of global/country traffic is that it makes it harder for website owners to realize how wrong they are.
I think it's ridiculous to believe ANY company that claims that they can measure traffic of a site accurately without the DIRECT INVOLVEMENT of the site's owners. How are they doing it? Through the ether? Come on! Data, people. Data. Google's figured that out, maybe other companies should too.
(For example, definitions one what constitutes a "visit" can vary)