Alexander the Great is thought by many to be the "Iskandar Dzulkarnain" (meaning "Alexander the two-horned lord") mentioned in the Qur'an in the Sura Al-Kahfi (chapter 18;'The Cave') which begins with verse 83:

[83] They ask thee concerning Zul-qarnain Say, "I will rehearse to you something of his story." [84] Verily We established his power on earth, and We gave him the ways and the means to all ends. [85] One (such) way he followed, [86] Until, when he reached the setting of the sun, he found it set in a spring of murky water: near it he found a people: We said: "O Zul-qarnain! (thou hast authority), either to punish them, or to treat them with kindness." [87] He said: "Whoever doth wrong, him shall we punish; then shall he be sent back to his Lord; and He will punish him with a punishment unheard-of (before). [88] "But whoever believes, and works righteousness, he shall have a goodly reward, and easy will be his task as we order it by our command." [89] Then followed he (another) way. [90] Until, when he came to the rising of the sun, he found it rising on a people for whom We had provided no covering protection against the sun. [91] (He left them) as they were: We completely understood what was before him. [92] Then followed he (another) way, [93] Until, when he reached (a tract) between two mountains, he found, beneath them, a people who scarcely understood a word. [94] They said: "O Zul-qarnain! the Gog and Magog (people) do great mischief on earth: shall we then render thee tribute in order that thou mightest erect a barrier between us and them? [95] He said: "(The power) in which my Lord has established me is better (than tribute): help me therefore with strength (and labour): I will erect a strong barrier between you and them: [96] "Bring me blocks of iron." At length, when he had filled up the space between the two steep mountain sides, he said, "Blow (with your bellows)" then, when he had made it (red) as fire, he said: "Bring me, that I may pour over it, molten lead." [97] Thus were they made powerless to scale it or to dig through it. [98] He said: "This is a mercy from my Lord: but when the promise of my Lord comes to pass, He will make it into dust; and the promise of my Lord is true."