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WEISS (Greg Grunberg):
Greg Grunberg who plays Weiss simply decided he wanted to do other things. So he left the show with the intention to come back to do guest spots only. He had planned to come back more than just the one time, but was unable to due to scheduling conflicts. He was busy filming another show when Alias could have used him. And of course ABC deciding to cut the episode order there was simply no way for Grunberg's schedule to allow him to return as Weiss again. This is why Weiss was not at Nadia's funeral or in the series finale.
VAUGHN (Michael Vartan):
There are many rumors as to what the deal is with Michael Vartan's departure and subsequent return. During most of the filming of season 5 he was off filming a movie in Australia. Later when Vaughn was found to be alive Vartan returned to finish out the series and had a special guest appearance credit.
According to JJ Abrams and Jeff Pinkner, Vaughn was never really supposed to stay dead. The plan was always to have Vaughn really be alive and return that way near the end of the season.
NADIA (Mia Maestro)
She was only signed for a one season deal as a regular cast member. However, she did return for a few episodes in season 5 to finish her character's storyline.
New cast members were brought in due to Jennifer Garner's real life pregnancy. The producers wanted new faces to keep the show going as well as new characters doing stunts or fight scenes since Garner is unable to do so with her condition. Edit
Syndey and Jack faked Vaughn's death and hid that fact from everyone to keep him safe while he recovered. There are many little things in the season 5 premiere that suggest this, but the biggest one is that Sydney has Vaughn take a drink right before he flatlines while in the hospital. This scene is later emphasized in the episode "Horizon" as well to make it even more clear that Vaughn drinking before he flatlined indeed was a clue that Vaughn was not really dead. Besides, during Vaughn's funeral and the scenes afterwards the song titled "Dirty Little Secret" by Sarah McLachlan could be heard, which is somewhat a clue. There are many other little things that suggest Vaughn is alive and the way that Sydney and Jack never said he was dead when alone is one of many.
In the episode "Horizon" the phrase "We always find each other" is even said several times between Sydney and Vaughn which to many suggested that the two would find each other again. This of course would mean that Vaughn was really not dead at all.
As for why Sydney was so sad after Vaughn "died" that can be explained by the fact that he was gone. She was pregnant and the man she loved, the father of her child, could not be a part of it. His life was in danger and she had to figure out a way to bring down Prophet 5 so it would be safe for Vaughn to return once he recovered AND go through her pregnancy, which should have been a truly happy time, alone. Being without Vaughn at that time was hard for Sydney, especially since she did not know when she would be able to see him again.
The fact that Jack and Sydney faked Vaughn's death was revealed at the very end of the episode "Maternal Instinct." I am referring to the scene on the plane with Sydney, Jack and baby Isabelle:
Sydney (looks at Isabelle then gives Jack a knowing look): "Dad..."
Jack: "I know, I'll take care of it."
Cut to a man on a horse who then enters a house and speaks to another man. The man in the house turns and says: "Good news. You have a daughter."
Camera goes to a smiling and very alive Vaughn. Edit
"This woman here depicted will possess unseen marks. Signs that she will be the one to bring forth my works. Bind them with fury. A burning anger, unless prevented. At vulgar cost, this woman will render the greatest power unto utter desolation. This woman, without pretense, will have had her effect, never having seen the beauty of my sky behind Mt. Subasio. Perhaps a single glance would have quelled her fire."
"This woman here depicted will possess unseen marks."
Sydney was tested by the CIA, they discovered parts of her matched what was said on Page 47.
"Signs that she will be the one to bring forth my works."
Sydney found most of the Rambaldi artifacts, so she could be said to have brought forth his works.
"Bind them with fury. A burning anger, unless prevented. At vulgar cost, this woman will render the greatest power unto utter desolation."
In the finale, Sydney fights Irina (burning anger) and in the end Irina and The Horizon are destroyed. The greatest power is The Horizon and Sydney renders it unto utter desolation.
"This woman, without pretense, will have had her effect, never having seen the beauty of my sky behind Mt. Subasio. Perhaps a single glance would have quelled her fire."
Although Sydney did see the sky behind Mt. Subasio in season one, she didn't see Rambaldi's sky; the prophecy clearly states "my" sky. When Sloane lifts the amulet into the sunlight he whispers "his sky" and then tells Sydney "I'm sorry Sydney this isn't my choice, you're not allowed to see this", then shoots at her feet and she falls through the snow. The amulet must have shown an image of Rambaldi's sky and the position of his underground tomb. If Sydney had a single glance than perhaps it would have quelled her fire and she too would have wanted to see Rambaldi's endgame.
The Prophecy is really telling us that The Chosen one will stop Rambaldi's endgame not create it. Rambaldi wasn't saying this woman would bring destruction, he was saying she would prevent it. Edit
Sydney Bristow: Married to Vaughn and semi-retired, they both live in a beachside house at an undisclosed location. They have two children named Isabelle and Jack.
Michael Vaughn: See above.
Jack Bristow: Deceased. Sacrificed himself to defeat Sloane.
Arvin Sloane: Achieved immortality through Rambaldi, but was buried alive in Rambaldi's tomb. His fate is to spend eternity trapped a hundred feet underground.
Marcus Dixon: Was promoted to Deputy Director. Although it was never stated whether or not it was with APO or if that department still existed. It is assumed, however, that he still works for the CIA. He maintained a close relationship with Sydney and Vaughn's family.
Will Tippin: Though he was not in the finale, it is assumed that he successfully proposed and got engaged to his girlfriend off-screen. As shown in his final appearance, he asked Sydney to be his best man, to which she happily agreed.
Francie Calfo: Deceased. Murdered by Allison Doren.
Marshall Flinkman: Married to NSA Agent Carrie Bowman and has 4 children, all boys. It is unknown as to whether he still works with the CIA.
Eric Weiss: Promoted to a job at Langley, coordinating covert operations for the NSC.
Irina Derevko: Deceased. Fell to her death while retrieving 'The Horizon'.
Julian Sark: Still continuing his never-ending list of criminal activities. In the finale, it is revealed that he is behind the incident Dixon is seeking help with.
Lauren Reed: Deceased. Shot by Vaughn.
Nadia Santos: Deceased. Killed by Sloane.
Rachel Gibson: Continued working with the CIA and is said to be in a deep undercover operation.
Renee Rienne: Deceased. Throat was slit by Anna Espinosa.
Thomas Grace: Deceased. Killed in a bomb explosion.
Kelly Peyton: Captured by the CIA and is in their custody.
Emily Sloane: Deceased. Accidentally shot and killed by Dixon.
Anna Espinosa: Deceased. Shot in the back and head by Sydney.
Katya Derevko: Unknown as to whether or not Jack was successful in securing her release in exchange for her help on the whereabouts of Elena.
Elena Derevko: Deceased. Shot in the head by Irina.
Allison Doren: Deceased. Stabbed by Will Tippin. Edit