In just looking at the database here, the most common line is Nfd7 (473 games) followed by Ne4 (400) and then d4 (278).
I've only played the Alekhine a few times so I don't know what the best lines and ideas would be. I also don't know if more recent game provide any different lines.
The most common line in the DB after the position posted, is 5. d4 c5
I've tried out Alekhine's Defense a bit lately as I like the concept of luring the opponent into creating a liability in the form of a large pawn structure. Often, after 1. Nf6, white neglects to do so, playing 2. Nc3. After playing 2. d5, black reaches a very desirable position in the case of an exchange with a centralized queen that doesn't have a knight to kick it around.
But the worst response I've seen so far is when white then decides to push the pawn. This can transpose into the French defense, but I'm not sure what to do or how best to avoid this line:
Should I avoid this altogether by moving my knight to e4 instead of d7? What's the best continuation for black?