So. This is kind of exciting. We don’t get cliffhangers in games usually, certainly not the kind the world can discuss the way we do Lost. I have some theories:

Alyx isn’t dead, obviously – Confirmed!
It’s not that I don’t believe Valve would kill her – I think they will – but they wouldn’t give it away in a trailer. She’s hurt, and I’d guess out of action for pretty much the duration, so no more faux-co-op for a while.

There will be pheropods
I think you’ll have to go into the antlion tunnels seen in the trailer (there are grubs on the walls and ground) in order to defeat a queen antlion, and take her pheropod in order to send all antlions against the Combine, including Guards. So many people loved commanding antlions in Nova Prospekt, and the pheropod’s the only weapon that doesn’t feature in Episode One. Alyx’s presence throughout E1 was a response to the positive feedback about her, and I think they’ll use each episode to go to town on something people loved about Half-Life 2.

There’ll be a vehicle, probably a new one – Confirmed!
Your train is clearly crashing only a short way out of City 17, and the place is blowing up. You’ve got to get out of there fast, and we know from the trailer that you reach Eli and the others at their hideout, well out of the blast radius. No way are you walking. The obvious choice would be the jeep again, but it was a customised one-off vehicle, and there’s no reason it would be around (no-one knew you’d crash there). I’d love to think air, since they’ve done land and sea, but it’s more likely going to be a different wheeled vehicle. My gut says no to the Combine APC – too clunky and too familiar. I also can’t imagine it’ll be a civvie car – not interesting enough. But something…

Odessa Cubbage will return, and betray the rebellion – New entry!
Raising The Bar mentions that Cubbage originally played a bigger role in Half-Life 2, and turned out to be a nasty piece of work. He was also Alyx’s father, which is referenced in a little joke Alyx makes in Episode One. That’s one of three times Cubbage is mentioned in Episode One, which I think is to refresh our memories of that character’s existence in preparation for a reappearence. He’s also an outdoorsy type, and Episode Two is going to be mostly outdoors. That’s science.

And some questions:

Where are the Advisor Pods going?
Not up, seemingly.

What information did the Combine send back to their home world?
We get no clues that I can see as to what that data packet contains, but I would guess it’s something Alyx and co don’t already know – i.e. more than just info on what the rebels are up to.

Where is Judith and what’s she doing there?
She mentions ‘what’s left of the project’ and something about information the Combine might have gathered about it. The fact that she’s in what looks to be a snowy climate implies, to me, that the Vortigaunt’s teleportation is the slow kind, like the one that skipped a week during HL2. This time you were ported a shorter distance and the time skipped was probably only six hours or so.

Will we ever meet the Hydra?
It was a City 17 thing, the only time we glimpsed it, and now City 17′s gawn.

Who’s in charge here?
Half-Life 2 made it look like a Combine Advisor was the big boss of the Combine, somewhere far off on an alien world. Episode One makes it look like there are dozens of them, all in the Citadel. It also shows us they have a weird psionic attack – it didn’t do any damage in the Citadel, but perhaps it has another effect. The Advisor pods don’t fly up to space when they eject from the Citadel at the end, they snake off above the ground. The commentary suggests that we’ll be fighting them.