Alexander the Great is over-rated. Darius of Persia created an empire that was almost as large over much of the same area, and it lasted in stability for hundreds of years, unlike Alexander's short-lived dominion.
I really couldn't choose any historical figures that I would idolise. I suppose some of the ones I most respect would be:
Somerled, King of Argyll and Lord of the Isles
Robert I (the Bruce)
John Knox
Voltaire
Admiral Thomas Cochrane
Arthur Wellesley, 1st Duke of Wellington
Napoleon Bonaparte
That's a high proportion of Scots, but a fairly varied list, I think. Somerled I admire because he was not just expansionist, but a good king, and managed to drive the Norse out of Scotland. Also fought fiercely against the Anglo-Normanisation of Scotland, although he lost in the end.
Robert the Bruce is just a perfect 'triumph-through-adversity' figure, and the fact that he got excommunicated gives him bonus coolness points.
John Knox was an important religious figure in the Scottish reformation and gets a far worse rap than he ought to.
Voltaire's philosophical observations are still just as relevant today and he was one of the great figures of the Enlightenment.
Admiral Thomas Cochrane was an incredibly colourful and courageous sea captain who was eventually stripped of his title due to alleged (and most likely untrue) fraud, whereupon he went to Chile and helped lead that country to independence from Spain.
Wellesley is of course one of the two great military leaders of his time but he was also a surprisingly good politician and leader long after the Napoleonic Wars were over.
Napoleon needs no introduction, surely, and deserves respect for his achievements even if you don't agree with the man.