SPOILERS
Someone correct me if I'm off.
you are Gordon Freeman.
-in HL1 you liberated the planet Xen from the Combine.
-At the end of HL1, you were frozen in stasis(slow time) by the G-Man for him to call you into play when it was deemed you were needed.
-In HL2, he brings you in to liberate City 17 on earth from the Combine.
-At the end of HL2, the G-Man plucks you out of City 17 and puts you back into stasis after telling you there will be more opportunities for you to fight the Combine.
Summary - buy HL3.
Likely, what happened to Alyx is in question, but likely she got away alive.
I'm still a little miffed those bastards took my hand cannon after I spent all that time and effort saving bullets for it. If I knew they were gonna do that, I would have totally went dirty harry on those stupid toxic zombies.