Yes, bigger is bad with Alexa.
Alexa is a page ranking site. The Alexa number is a combination of the number of visitors to the site (reach) and the number of pages seen by each user (page views). The number is calculated off of a 3 month average for both statistics.
Alexa number 1 is Yahoo! Namepros' Alexa number is 4595 (extremely good). A movie website I help promote has an Alexa ranking of about 165,000 (still very good). There are Alexa numbers with 7 figures for sites with very little traffic. The worst Alexa number is n/a (no ranking).
Hope that helps.
Tony