Difference between Alexa, Google Analytics, Quantcast and Compete website statistics

Google Analytics would be the most reliable.

Edit

I was being a bit lazy for not posting this, earlier, I realize that this comparison might help others (including myself!)

All the services you mentioned offer javascript code based tracking. Alexa also does this in their Pro Plan, so do Quantcast and Compete. However, the data reported by all these services is not accurate.

This has been reported by SEOmoz in an extremely neat fashion, Compete and Alexa have been scoffed at in TechCrunch.

A non-biased version is provided by Avinash Kaushik on the differences between these and other systems. I would highly encourage you to go through this post, because I cannot explain things as clearly and as indepth as this man. He rocks!

In short, if you want to measure metrics about only your site, then Google Analytics is the best tool (I could be biased since I have been using this for the past 3 years on a daily basis and am generally able to find answers about data discrepancies if any).

Do note that GA does not provide competitor data, where as some of the other systems do. You can find such data using Google Trends for Websites. Do read a longer post on KISSMetrics on this.