O what can ail thee, knight at arms, Alone and palely loitering? (lines 1-2)
The opening image of the poem is the knight looking "pale" and "ail[ing]" while hanging out "alone." Clearly, this guy doesn't want to be alone. Even that opening syllable, "O" suggests emptiness (it looks like a zero).
And no birds sing. (line 4)
Even the birds have abandoned the knight. Poor guy.
O what can ail thee, knight at arms, So haggard and so woe-begone? (lines 5-6)
As thought the knight needs to be reminded that he's miserable, the opening speaker repeats the same question again in the second stanza, this time commenting on the knight's "haggard" looks.
And on thy cheeks a fading rose Fast withereth too. (lines 11-12)
The "fading rose" on the knight's "cheeks" suggests his sickly paleness (his cheeks are no longer "rosy"), but the "fading rose" also suggests a failed love affair, since roses so often represent love.
And I awoke and found me here On the cold hill's side (lines 43-44)
After the knight wakes up from his nightmare about the "pale kings," he finds himself, quite literally, out in the cold.
And this is why I sojourn here, Alone and palely loitering, (lines 45-46)
The knight thinks that his crazy story about the beautiful lady and her "elfin grot" is an adequate answer to the opening speaker's question about what "ails" him. Of course, the story is so ambiguous that it's not much of an answer at all.