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.

Cheers,
Refractor