For traffic estimates & advertising information, check out:
http://Follow.net - Follow aggregates many of these vendors in one screen.
http://Compete.com - Traffic Estimates
http://SimilarWeb.com - Traffic Estimates, Keywords, Ads, Referral, & More
http://QuantCast.com - Traffic Estimates & Demographics (for some sites)
If you want SEO or SEM specific data, check out
http://semrush.com
http://keywordspy.com/
http://ipsionage.com/
http://moz.com/