Wiki has an interesting bit on this.
Might be interesting to check it out.
http://en.wikipedia.org/wiki/Dhul-QarnaynDifferences Between Alexander the Great and Dhul-Qarnayn
The suggestion that Dhul-Qarnayn is Cyrus the Great is supported by some of the Quranic commentaries (Tafsir) and Islamic scholars such as Allameh Tabatabaei (in his Tafsir al-Mizan),[10] Allameh Tehrani,[8] Syed Ahmed Khan (known interpreter of the Quran), Abul Kalam Azad (Minister of Culture, India, in Majma' al-Bayan), and Dr. Baha-ed-Din Khorramshahi. Mohammad Ebrahim Bastani Parizi the historian, also deny that Dhul-Qarnayn was Alexander the Great.[11] They tend to suspect that Dhul-Qarnayn was Cyrus the Great, the King and founder of Achaemenid empire. They provide strong evidence, including artifacts, stone carving palaces and graves. Some of their reasons are:
In the carved stone that can still be seen up to now show Cyrus with his crown with two horns.[11]
According to the Quran, God's grace be with him and with it, Cyrus was the first king (several hundred years before Alexander the Great) who conquered most of Europe and Asia.[11]
Cyrus (as Dhul-Qarnayn) was a monotheist and worshipped the God, but Alexander the Great had many gods.[11]
In the Quran, Dhul-Qarnayn noted that the journey begins to the west and then to the east before the road to the other (the North), which coincided with the start the expedition of Cyrus the Persian conquest in the West to Lydia in Asia Minor and then turned to the east until the Makran and Sistan (Scythian) prior to capturing the Northeast Europe near the Balkan.[11]
Expedition of Cyrus proceeded with the conquest of Lycia, Cilicia and Phoenicia, and they used the techniques of wall construction which was not used anymore by the Greeks at that time.[11]
In accordance to story in Quran, more chances of it being Cyrus, as he ended his expeditions in 542 BC, before returning to Persia, while Alexander was still in war mission when he died.[11]
Alexander didn't built dams, there are just some fictional stories about this but there's not any historical document about it.[11] (Look at Strabo's Geography for more information)[10]
Besides, Alexander also said to be as generous as it is said Alexander drinking alcohol and partying often, and also had a man, Hephaestion, as a lover.[10][11][12]
Azad also rejected what it already belongs to Qahtaan Arabic Yemen, on the basis that the question of the Jews by the Prophet was with a view to embarrass him, even if the Arabs of Quraish were aware of it and asked what was miraculous.[10][11][12]
Azad builds his theory on the basis that the origin of the name "Dhul-Qarnayn" comes from the name stated in the Torah is "Haqqərānayim" which is launched by the name of the Jews to Cyrus, to show tolerance to them when his predecessors had been unjust to them.[11][12][13]
In Old Testament
Main article: Daniel 7
In Arabic translations of the Old Testament, the word "Dhul Qarnayn" (Hebrew: Ba'al Haqqərānayim בעל הקרנים) appears once in the Old Testament, in the Book of Daniel 8:20:
أَمَّا الْكَبْشُ الَّذِي رَأَيْتَهُ ذَا الْقَرْنَيْنِ فَهُوَ مُلُوكُ مَادِي وَفَارِسَ
הָאַיִל אֲשֶׁר-רָאִיתָ, בַּעַל הַקְּרָנָיִם--מַלְכֵי, מָדַי וּפָרָס
Translation:
(New International Version): The two-horned ram that you saw represents the kings of Media and Persia. Daniel 8:20
(JPS 1917 Hebrew Bible in English): The ram which thou sawest having the two horns, they are the kings of Media and Persia. Daniel 8.