How we cite our quotes: I cite by line number only.
Quote #1
O what can ail thee, knight at arms,
Alone and palely loitering (lines 1-2)
The knight seems almost ghost-like in these first lines. The speaker finds him all "alone" and "loitering" near a lake. He's pale like a ghost, and the "loitering" seems like a ghost that haunts the place where he died.
Quote #2
I see a lily on thy brow
With anguish moist and fever dew (lines 9-10)
The speaker can tell that the knight has a fever. High fevers can cause hallucinations or visions. Is it possible that the knight is just a sick man who had a feverish dream about a fairy lady who seduced him and then ditched him?
Quote #3
And nothing else saw all day long (line 22)
The knight is so obsessed with the beautiful lady that he doesn't even see anything else. He's blind to the rest of the world.
Quote #4
And there I dream'd – Ah! woe betide!
The latest dream I ever dream'd
On the cold hill's side. (lines 34-36)
The word "dream" gets repeated three times in these lines. Why is that? Does the knight want to emphasize that it was, in fact, a dream, and not a real series of ghosts that he saw? The knight's dream was so horrific that he interrupts himself with that dash and interjection – "Ah! woe betide!"
Quote #5
I saw pale kings, and princes too,
Pale warriors, death pale were they all; (lines 37-38)
More repetition in these lines. This time, it's the word "pale" as the knight describes his dream.
Quote #6
They cried – "La belle dame sans merci
Hath thee in thrall!" (lines 39-40)
These lines have to be important, because they contain the title of the poem. They're also the only lines that are set off by quotation marks, to show that they weren't spoken by either the knight or the original speaker. These lines are the warning that the ghostly "pale kings," "princes," and "warriors" cry out to the knight in his dream.