Alexa is now showing a list of your sites where it can match you are the owner. For example if you try viewing some of your domains (I've found .com ones work the 'best') if Alexa knows of other sites that you own or believes you own you'll see the links down the lefthand side.
Threadwatch have a thread about it at Threadwatch.org where you can see a few site owners with slight concerns over their various sites being associated. Why? Well for example even though I link to my business from this web site, I wouldn't link to this web site from my business. Even though, besides the odd rant, I'm not particularly unprofessional on this site (well I don't think so!) it's still a personal site and I don't want visitors or clients that go to my business site to come here. I don't tend to link to client sites from here (in fact besides one occassion, never) as I believe that the two should stay separate. In turn I can also understand why some people have threatened Alexa with legal action for listing their web sites. Some people don't want to be associated with the sites they run, they ensure that they don't link to their sideline sites, yet here is a company deciding to just take it upon theirselves to list all of your sites in one place.
I've not found any connections on my sites just yet, it doesn't seem to be happening with UK domains and I have very few .coms anyhow, but I've already gotten annoyed by Alexa for posting my full name and telling me it would take 3 months to have it removed (yet took one second to post it up). Okay whilst you can do some searching around and find my details on WhoIs Searches that's besides the point. It's almost as much of a concern as the other various options available to the public to get people's details and addresses, and they wonder why there's a problem with identity theft and everything else. Heck if you can even search Google as an online telephone book for the whole of the US!!
Anyhow, any site owners out there who don't want to be associated with their other URLs I'd check a few at Alexa.com and if they're there contact them (nicely first, via a solicitor second 
) and get them removed.
"it’s still a personal site and I don’t want visitors or clients that go to my business site to come here"
If you don't want people to see something, don't put it on the internet
It's not a matter of seeing something it's the connection or association. As far as I'm concerned that's like letting your clients into your private life. It doesn't matter whether it's excessively private or what – this isn't really a personal site afterall, but you still don't need your clients looking in. However the association – take a look around at half the sites you frequent – why do they not link to their sideline sites? Simple answer, you shouldn't.
Let's say you have a few scraper sites. One gets banned out of Google for spam. The last thing you need is for the spam division at Google to find out your other sites as they'll all be dropped instantly and it'll probably be a long hard job getting the legit sites back in the index.
Now you know as well as I do – Google can potentially send 3-4 times more traffic than any other search engine. Be it because it's easier to manipulate the results or just due to its popularity.
Sarah, I agree with Olciv. If you don't want people to see somehting just don't put it online.
Second: why should you have sites that spam google? Google has clear guidelines for webmasters. So, if google will ban one of your scraper sites for spam… weren't you asking for it?
Third: google will not ban your other sites if the other sites do not spam. Google doesn't care about your name or how many sites you own. They will not look to punish all your sites. They will ban solely the sites that go against their guidelines: http://www.google.com/support/.....swer=35769
Forth: Alexa is not the only tool someone can use to learn who the site owner is.
All in one: you go online, you are a public person. ANYONE can see you. No matter what you do.
Okay a seriously old post but here goes…
Forget my other statements, it doesn't concern me as my sites aren't linked by Alexa. It was a point about Alexa essentially invading your privacy, just like domains displaying your address etc. Something I don't agree with – my opinion, I'm allowed it.
Let's look at this issue in a different light. Not sure if you looked further on this site but there is another blog on money making ventures (http://ais.sarahfreelance.co.uk). Anyhow, not sure if you know much about AIS stuff so forgive me if what I tell you is already known to you but for the benefit of anyone readng who doesn't…
You set up sites, they're a success and earning you a nice tidy sum each month. Bit of extra cash that'll pay for a couple of nights out perhaps. Anyhow, you can ask anyone who does these type of sites, be them scraper, product, affiliate based etc. 99% of them will not tell you their sites because they want to keep the subject and the structure of the site private and away from others who may copy that. However when I learnt that Alexa was showing sites from the same author I started to be nosey and looked up a couple of people and lo and behold I could see their other sites, the ones they kept private. These are sites that are making a lot of money, and whilst they clearly want them online for the general public to find and use they obviously don't want other AISers to discover and possibly copy. Unfortunately there's a lot of people out there who will stab you in the back and happily nick your ideas if you let them.
To address your comment
"If you don’t want people to see somehting just don’t put it online."
I started buying domains when your address was kept private, then Nominet decided to make it public. It wasn't my choice to put it online. Tescos doesn't post your name and address up for the public to see when you've made an online shop with them, so why, just because you own a domain, should Nominet get to do so? When you sign up for a new telephone line you are asked if you want your details being made public in the phone book. You have the choice. Your website is there giving you the choice to link to your other sites. When another site does it without permission you lose that choice.
This has got nothing to do about people not finding my sites or the sites of those who weren't happy on Threadwatch, of course they're online for people to find! Credit me with some intelligence please. However why should my business site be connected to a personal site? I don't link to any (bar one) of my personal sites from my business site for professional reasons. So why should another site connect the dots for me? How would you like it if I wrote a post on you and all of the sites I could find under your ownership? And you have no control over what's being said or how the sites are being linked? I'm guessing you wouldn't be over the moon. You may not care that much but I'd assume you still wouldn't be that happy. It's got nothing to do with spam sites and good sites, that was just an example. It's do with someone else taking away your choice.
Yes people can make the effort and probably find a network of sites, but when the hard work is done for them then they're more likely to see the outcome.
As I said at the start, this is an opinion based on my thoughts because I don't 'suffer' from having my sites shown like this on Alexa, but I posted originally because I knew of other readers here who did and thought they may appreciate a heads up.