Yeech. Yes, Alexander the Great WAS bisexual, as was his father. The two most well known cases of his sexuality were Hephaestion, his best friend since they were very little, and the Bagoas as Merry Andrew mentioned.
Some good sites for evidence are listed here:
http://en.wikipedia.org/wiki/Hephaestion
http://www.gayheroes.com/alex.htm
If those don't convince you read 'The Persian Boy' by Mary Renault, it's about Bagosas and entirely factual.
On this note I am doing an essay for school proving that Alexander was a bisexual man deeply in love with Hephaestion. Now before you scorn me hear the facts that convinced me out. When Hephaestion died of what is thought to be Tuberculosis, Alexander stayed by his dead friend for three days without sleeping, eating, or releiving himself. In the end his generals had to drag him bodily from the room. After that, Alexander went mad with grief. He shaved his head and the manes of all horses in his calvery. Alexander had always been a heavy drinker, but now he was contantly in a state of drunkedness. In fact he died three months after the death of Hephaestion from Malaria contracted from lying drunk in a gutter in Babylon for some days.
^It thar didn't convince you, nothing will.