Page Rank (PR) is very important with Google and is a result of good related sites linking back to you. There is some indication other SE's are starting to lean toward, and adopt, this approach as well.
Alexa is a gauge, more than anything else. Alexa will not affect your receiving more traffic, or a better ranking at another SE. Basically, the way you get ranking at Alexa is by visitors with the Alexa toolbar installed visiting your site. Your own visits could skew the results if you have the toolbar installed while working on or visiting your site.
Personally I don't put much stock in Alexa because I feel the majority of users of the Alexa Toolbar may very well be other online marketers. That's only my opinion and by no means fact.
You should work on exchanging links with good, topic related sites. It doesn't really matter if they have a PR1 or a PR6, if the site is of good quality and related to your topic. If it's good for your visitors, it's good for your site, is my view. I don't worry about the PR of sites I exchange with for one reason ... what is a PR1 today, could be a PR7 next month you just don't know.
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