Hard to say and I imagine it's going to vary greatly depending on the site.
From what I've seen, Compete.com has more of a US bias - so it may not be all that accurate for non-US sites.
Alexa generally seems more accurate to me, but it also seems to have a bit of a webmaster bias - meaning sites that are visited a lot by webmasters tend to be artificially high.
There's also Quantcast.com which can give you some further data.