Great moments you spent.. Alexander has nothing to teach you: he was a cruel, violent egomaniac. You can learn things about how to plan and improvise a battle from his battles, including perseverance (e.g. look at the battle of Tyre). You can learn things about how to lead warriors in repeated battles by force of example (he fought at the front with his soldiers). These aren't the types of lessons useful to anyone other than military historians and, to a lessor extent (since warfare has changed substantially) modern generals. He is hardly a a role model to us but instead proof of vaingloriousness and lack of respect for other humans (he killed his best friend in a drunken rage).

Diogenes is a different case. He viewed himself as above states (like Mos Def apparently), was happy sleeping in a jar, and had no problems criticizing both Alexander and Plato. He was an iconoclast and true to himself. I wouldn't suggest sleeping in a jar, but suspect we all could learn to be more suspicious of authority figures (say, Donald Trump). He disavowed caring about death, got rid of his only bowl when he say a poor boy drinking using his hands, and sounds like a royal pain in the butt to be around, but had a refreshingly simple and honest lifestyle that no one but Indian holy men probably could manage.