On Alicent Hightower and Criston Cole
"My oath has been broken; I have dishonored myself. I deserve no consideration. But if, as a clement queen, you are inclined to pity, I would ask only this: that rather than gelding me and having me tortured, you would sentence me mercifully to death."
Alicent kept Criston's secret for over a decade. She could've used it against Rhaenyra, which would've resulted in Criston's torture or death, but instead she choses to forgive Criston for his sin and for breaking his vows and gives him a second chance. Alicent has no reason to protect Criston and gains absolutely nothing from it. She forgives him out of pure altruism, compassion, and sympathy.
But why does Alicent sympathise with Criston? When he confesses his sin to her, Alicent sees herself in Criston. She recognises someone who shares the same values as her: honour and duty. She understands that Criston regrets what he did and holds great importance to his vows as a member of the Kingsguard, just like Alicent holds great importance to her vows as the wife of the King of the Seven Kingdoms. She knows she could've been in Criston's place, perhaps the thought of breaking her own vows has already crossed her mind... Also, Alicent is a very empathetic and sensitive person by nature.
Alicent lets Criston, go. Then comes Rhaenyra's wedding. Ser Joffrey approaches Criston and tells him he knows about his and Rhaenyra's secret. Already psychologically distressed, Criston beats Joffrey to death in a fit of rage. This is the last straw for Criston who goes to the Godswoods and decides to take his own life... until Alicent appears and calls his name, like a divine entity coming to rescue him.
Between episode 5 and 6, we know that Alicent bestowed Criston as her sworn protector. This is when their bond starts to form.
Alicent and Criston are very similar, and this is how they bond. Both are determined people, who think it's necessary to live by values like honour and duty to succeed in life, no matter how much they must sacrifice on the way. Alicent takes her duty as wife and queen seriously. She devotes her life to her husband Viserys and gets nothing in return. She gives him four children whom he neglects, and he even forgets her name when he's a bit tired. Similarly when Criston broke his vows and sacrificed his honour for Rhaenyra, she gave him nothing in return.
Criston seems to care a lot about Viserys' mistreatment of Alicent and her children. He becomes a paternal figure for them, and for Alicent, he becomes a partner. Criston helped Alicent to raise her children.
Alicent and Criston's connection is very deep. In my opinion, Criston has romantic feelings for Alicent, but he knows he can't act on them for both their sake. She saved his life, an act he is immensely grateful for. He cares about her and even kills Lord Beesbury at the Green Council because he accused Alicent of regicide and kinslaying. Whether or not those feelings are requited, it's unclear to me. Alicent seems to be aware of the ambiguity of their relationship when she says, "Everything you feel for me, as your queen" in episode 9, to which Criston responds, "I will not fail you". This exchange seems to be the closest they've been to declaring their feelings to each other. It doesn’t matter whether those feelings are romantic or platonic, there is undeniably a very deep love between them.