In the credits, as Half-Life: Alyx's logo fades away into the white expanse, only one letter is late to disappear: the "y" in "Alyx". Why is that? Mirror the "y" from the top, and you get the lambda, the symbol that is part of the Half-Life series. In particular, it's the symbol on Gordon Freeman's HEV suit, which is heard spouting a lifesign warning just as the "y" vanishes. Seconds later, the player is controlling Dr. Gordon Freeman again, if only briefly.
Alyx's ending retroactively fixes an unexplained inconsistency in Episode 1. In the ending of Half-Life 2, time is frozen and the G-Man appears to deliver a monologue before taking Gordon away with him. The beginning of Episode 1 shows much of the same, except that the G-Man is stopped by the Vortigaunts before he can do anything. One may think that the beginning of Episode 1 is a retcon, but the event of Alyx offers another answer. The Vortigaunts are consistently shown to be able to match the G-Man, including in his ability to see the future, so it's possible that they also possess the same time-reversal power. With this in mind, it's entirely plausible that the inconsistency between Half-Life 2's ending and Episode 1's beginning to be the result of a Cosmic Retcon by the Vortigaunts.
When you get to the first substation and free the Vortigaunt, the player, having played the previous titles, might not think much of it. Vortigaunts would obviously be an ideal source of energy for an empire that frequently uses life-forms as resources, right? Especially to sufficiently power something that needs to suspend itself off the ground indefinitely. Regular Combine behaviour. That is until you get to the ending and realize why it had to be Vortigaunts instead of just regular Combine generators, because back in Episode 1, they weren't powering the suspension; they were powering the containment field, because they're the only thing with a chance of keeping the G-Man in one place.
Remember how in Episode Two, Alyx conveyed the G-Man's message to Eli, not remembering what she said herself? Here, the G-Man made sure that 19-year-old Alyx Vance wouldn't remember her meeting/deal with him. Then the G-Man plucked the 24-year-old Alyx Vance from White Forest in Episode Two, leading to Alyx's Distant Finale with Eli alive and Alyx missing. The G-Man and his powers implicitly fill in the Plot Hole that Alyx would have: instead of putting this Alyx into his employment straightaway, he'd simply wait until the ending of Episode Two to abduct Alyx Vance in exchange for her father's life. When the G-Man said in Episode 2 that "he doesn't squander his investments", he's not joking.
Armored headcrabs and lightning dogs so far have only been seen inside the quarantine zone, providing an in-universe explanation for why they weren't present in any of the Half-Life 2 games.
Why are the antlions different in this game, with their glowy limbs and tendency to explode into puddles of bright orange acid when they are killed? The combine tolerate their existence in the quarantine zone, since they capture them and milk them for their acid, which they presumably use to treat the meat moss growing within the zone. It would make sense that they would want an acid making variety of antlion living where they are harvested, or they have been selectively bred to produce so much of it. This is in contrast to the "wild" and unwanted populations seen in Half-Life 2.
Why did G-Man and his employers "struggle to find a suitable replacement" when they could've easily just replace Gordon with Adrian Shephard, the protagonist of Half-Life: Opposing Force? Disregarding the explanation that his character may not even be canon, at the end of Opposing Force, Adrian wasn't hired by G-Man, he was detained. He was never meant to replace Gordon, he was just put into stasis so that he couldn't tell anyone about what happened at Black Mesa. The only reason that Adrian is still alive is because of G-Man's insistence, as he personally liked Adrian's ability to "survive against all odds", while G-Man's employers wanted him dead.
Also, note the wording the G-Man uses. He struggled to find a suitable replacement. It's possible that for whatever job that the G-Man needs done, Adrian just didn't have the specific requirements for it.
If you'll read Terminal newspaper cover, issued just after Seven Hour War, you'll find that the world's economy is in a dire state, with every major stock market being closed. Every, except Japanese, whose status is listed as "Unknown". It might seem that the entirety of Japan has gone dark during the Portal Storms and Seven Hour War.
Remember how Half-Life 2 started off with Gordon just happening to appear on the day when Resistance Teleportation worked, rather convenient isn't it? That the thing the Resistance and Gordon needs to really get a leg up on the Combine, the thing that kickstarts Breen's knowledge of him? Doesn't seem so convenient anymore with the knowledge that the G-Man and his employers can see all of time and space, he knew that it would be the right day to drop Freeman off before the events even happened.
Looking over the whole franchise, one can see other places where events may have been "nudged". Seemingly random accidents and mishaps that just happened to open paths Gordon Freeman needed to take to progress. Machines and equipment along Gordon's path that happen to malfunction in a way that only Gordon Freeman can fix them. HECU and Combine ordinance that had been left precisely where Gordon Freeman would need to use it to defend himself and/or open a new path. And so on.
Longtime fans may grow disappointed during their first playthrough when it becomes clear there aren't any secret G-man sightings, despite them being a series staple. Then you open The Vault and it turns out the lack of sightings was actually a major plot point! Very clever, Valve, very clever...
Why can't Alyx use any melee weapons such as the series' iconic crowbar? Fact is, a crowbar simply wouldn't be of much use to her: Alyx is just a normal teenager with little to no prior combat experience, going up against armored soldiers and a host of alien lifeforms. Gordon Freeman, on the other hand, is an adult male whose speed, strength, and durability is augmented by the HEV suit. In his hands, a piece of hardened steel could do some real damage to just about anything; in Alyx's hands, however, it wouldn't be nearly as effective as a gun or explosives.
Note the perspective when G-Man shows Alyx her father's death. The spot Alyx is standing in is about where Gordon Freeman was standing in the same scene in Episode 2. The G-Man has replaced Gordon with Alyx in that scene, foreshadowing his replacing Gordon with Alyx as his asset.
So, the Vault that The G-Man is in happens to look almost exactly like a Bacteriophage Virus, which can be used as a kind of antibiotic, but can also cause bacteria to become far more dangerous. Is this a case of The Combine viewing him as an enemy through the lens of a biomechancial empire, or is it horrifyingly literal?
Some of the Zombies look like their Headcrabs have been attached to them for years, or even a decade, yet they're still as frail and comparatively unmutated as fresh victims. If the quarantine zone doesn't contain enough food for them to gorge on like seen in Black Mesa (where Zombies can be seen stuffing corpse meat into their chest-mouths), then the process to changing from a standard Zombie to a Gonome may require plenty of nutrition for the Headcrab to further develop. Compared to the quarantine zone, Black Mesa had a lot more meat left sitting around to eat.