There was an Alexander The Great TV pilot that aired 26 January 1968 starring (and I'm not making this up) William Shatner and Adam West. Yes, Captain Kirk and Batman. Since then there have been a few series and mini-series that cover some of his life, but they are generally focusing on other aspects of history.
From the wikipedia link above:
Alexander Senki (1997)Alexander Senki, Anime / TV series, starring Toshihiko Seki as Alexander, directed by Yoshinori Kanemori, and with character designs by Peter Chung (of Aeon Flux fame). It was based on the novel Alexander Senki by Hiroshi Aramata. Also known as Alexander (International: English title); Reign: The Conqueror (USA). The series (US version, Reign: The Conqueror) debuted on Cartoon Network's Adult Swim block variety show in 2003.
The middle episodes of Chanakya (TV series), a 1991 Indian TV series, depicts Alexander's invasion of north-western India, his death and the rebellion led by native Indian kingdoms under the leadership of Chandragupta Maurya against Alexander's successors in India.
The 1996 miniseries Gulliver's Travels, starring Ted Danson, featured a visit from Alexander the Great.
In the Smallville season 1 episode "Rogue", Lex Luthor shows Clark Kent the armor that Alexander the Great wore in battle. The breastplate is gold, with red and blue diamonds (the colors that represent Superman), and a snake shaped like the letter S.
In the Footsteps of Alexander the Great (1998), mini-series, hosted by Michael Wood, directed by David Wallace.
In the miniseries Yu-Gi-Oh! Capsule Monsters, Alexander the Great was the main villain in the Capsule Monster World.
Alexander was occasionally featured on Histeria!, depicted as a somewhat egotistical man who liked to make it clear that "I'm great! Ha ha!" The first episode to feature him was "Really Really Oldies But Goodies", which featured a sketch about his habit of naming cities after himself, which leads to a scene where World's Oldest Woman gives Toast multiple directions to different cities called Alexandria. In "A Blast in the Past", Alexander consults Sigmund Freud about his past, fretting about the fact that his father always considered him "pretty good" rather than "great". Finally, in "When Time Collides!", Alexander is shown as the reigning champion on a Jeopardy! parody, because all of the correct responses to the answers are centered around him. He even finds a way to win when Charity Bazaar gives the correct response.
The second season of Spike TV's Deadliest Warrior, which features computer simulated battles between historical warriors, pitted Alexander the Great (portrayed by Jason Faunt) against Attila the Hun, with Attila emerging victorious, with 59.6% of the wins.
In Fate/Zero a Japanese anime by Type-Moon, Alexander the Great was one of the participating servants in the Holy Grail War.