Yes, you can export site keywords and keyword opportunity lists.
To export site keywords
- Go to http://www.alexa.com/keywords/
- Enter a site URL
- Click the "Export CSV" link at the top of the page
You can also export paid and paid competition keywords.
To export keyword opportunity lists
- Go to http://www.alexa.com/pro/kwopportunities
- Enter a query
- Set the filters so that the list returns the keywords you care about most
- Click the "Export CSV" link under the filter list
Note that all keyword exports are limited to 1,000 lines.