the KEY EVENT in Alan Wake is him jumping in Lake to save Alice. When you're playing the game, you think the events again are also unfolding but it already has...Let me explain. In the ending of the game, Alan creates Mr. Scratch, he tells him that he is the one that will meet his friends. So, the whole time we're playing, we're actually playing Mr. Scratch, which explains the Alan Wake that we see in the TV screen. Alan Knew he had to stay in the cabin to continue writing but he also needed to escape to save Alice or perhaps himself, so he created Mr. Scratch. Sooooo, somewhere midgame when it showed the KEY EVENT again and shows him escaping, you're led to believe that Alan wrote himself to escape but in fact, the Alan that emerged from the water and escaped was Mr. Scratch, the real Alan had to stay in the cabin to continue writing the story. Which is why while you're playing, you'll get glimpsed of Alan in the TV talking to himself and trying to find a way to continue telling the story. That's the REAL Alan, and the one we're controlling in the game is in fact...Mr. Scratch.

So when the KEY EVENT happened in the ending... where Alan jumps in the lake again to save Alice...Only one emerged out of the water, Alice, the Alan Wake that jumped sacrificed himself to bring her back. Only this Alan that sacrificed himself is Mr. Scratch...the real Alan is still in the cabin writing the story.

We have 3 possible ending scenario, the good, the bad and cliffhanger in one ending.
THE BAD: much like Donnie Darko, and Thomas Zane, Alan jumping back in the water and not emerging showed he sacrificed himself.
THE GOOD: He was able to save Alice
THE CLIFFHANGER: The REAL Alan Wake is still trapped in the cabin (darkness). Because the real threat is still to come, because its not a lake, its an ocean