Mmmmmh, Alphas are
nice. Digital almost always developed nice stuff, including, of course, the StrongARM.
I was thinking about getting myself an "oddball" Un*x machine to join my rag-tag fleet of machines at some stage too (primarily to use as a firewall). They keep selling SGIs on the German e-Bay.
The Alpha really is a data processing / database workhorse. Look on e-bay and see if people are selling 2nd hand SGIs maybe - they're more "fun", being more graphically oriented.
My only concerns would be:
does it take weird (aka "expensive") memory (it comes with none)
if you want NT, do you have it for the Alpha?
I'd also run Linux/BSD/Un*x on it rather than NT.

The machine is "old" if it actually has IDE support, it'll be slow - you'll want a SCSI drive in there if you want any real performance out of the system (and a PCI graphics card).
Cheers,
Refractor