I know to check your backlinks Google offers a good tool in the Webmasters Resource area or you can go to Yahoo and type "link:www. YourDomain.com" and it will show your your backlinks as well.
There is also one here you can try:
http://www.marketleap.com/publinkpop/
Not sure if that was what you were looking for but I had never used Alexa's link report tool.