When Roxas joined Organization XIII as the last and youngest member, it seems that he and Axel became fast friends. This was probably because Organization XIII was very much divided within itself at that point, each of the members fighting for their own hold on power (ie- Marluxia and Larxene plotting together to take over the Organization), even though they shared common goal to become complete beings. In an environment like this, it's easy to see why Roxas and Axel might tend towards each other. Axel, easygoing as he is, is never quite willing to commit to any giving side; and Roxas, new to the group and being "odd" on top of that, would have no one to relate to and would probably be very uncomfortable in such an unstable atmosphere.
There's really not a lot known about the time that they spent together as Organization members, but somewhere in that short span of time, Axel found himself incredibly fond of Roxas. This itself is incredible, considering they are nobodies, incapable of any feelings or emotion. Unfortunately for Axel, Roxas' serious and very driven nature eventually gets the better of him and he finds the overwhelming need find out why others possess memories and he does not, and he decides to leave the Order in search of answers. This must have been hard for Roxas, who at that point has no past, no memories, and knows nothing besides the Organization and the one friend he has there. The Organization itself probably didn't mean a whole lot to him though, as he surely knew they were using him, and the answers they were seeking weren't necessarily the answers he was searching for himself. His leaving is a lot rougher on Axel, who is losing the only person who makes him feel complete.
Axel: "You get on their bad side and they'll destroy you!"
Roxas: "No one would miss me."
Axel: "That's not true... I would."
- Kingdom Hearts II
In the first part of Kingdom Hearts II, Axel shows up in Twilight Town looking for Roxas who's being held there with only artificial memories of a life that he never lived. Axel has been ordered to pull Roxas out of the simulated town and force him to remember the truth about his existence. When they meet, Axel seems quite put off by that fact that Roxas honestly doesn't remember him, and tells Roxas that he's coming with him conscious or not. Before Axel can follow through with that threat, DiZ shows up to stop him and warns Roxas about Axel.
After this, Axel's given two fairly grim options by Xemnas: he can bring Roxas back to the Organization or kill him. Roxas goes to the mansion at the end of town where he finds Naminé in a white room filled with drawings. One depicts himself and Axel. Roxas is surprised when she tells him they are best friends, but he insists that can't be true because no one knows more about him than himself. Naminé goes on to explain a bit about what Roxas is in a very vague way and informs him that he shouldn't even exist.
The next time Axel shows up, it's to try one more time to convince Roxas to come with him. Roxas still doesn't remember, but makes an attempt to fake it ("We're... best friends, right?") and Axel is positively delighted until he questions Roxas about their boss's name and finds out it isn't true. Axel informs Roxas of his "icky" orders to destroy him if Roxas can't remember who he really is, but once again Axel is stopped by DiZ, who freezes him and tells Roxas to go to the mansion. When Axel is unfrozen, Roxas is gone and he realizes that the Roxas he knew is gone and is never coming back. He'll have to carry through with those "icky orders".
Like DiZ says, Roxas returns to the mansion. There, he destroys the computer that runs the fake Twilight Town world and his false memories. He now remembers everything, and recalls a memory of Axel asking him if he's really made up his mind to go, and Roxas tells him he has to know why he was chosen by the keyblade. In the next room, Axel is waiting for him. Roxas says Axel's name, but it's too late and Axel responds angrily. They fight and Roxas wins.
During the battle, Roxas fully remembers leaving the Organization and Axel telling him he'll be killed for leaving. Roxas says "No one would miss me anyway" and Axel insists "That's not true!" He adds to himself once Roxas is gone, "I would." Now, Axel is too weak to do anything but see how Roxas goes to meet Sora. Although Roxas remembers, he also knows what he has to do. The closer he is to Sora, the more he becomes his true self.
Roxas: "Axel..."
Axel: "Let's meet again in the next life."
Roxas: "Yeah. I'll be waiting."
Axel: "Silly... Just because you have a next life..."
- Kingdom Hearts II
Once Roxas is gone, Axel sort of loses it. From this point on, he is no longer working for the Organization, but for himself. He refuses to belive that Roxas can't be brought back, and he wants to make Sora become a heartless so that Roxas can be separated again. To do this, Axel kidnaps Kairi in hopes that it will enrage Sora. However, Kairi escapes and ruins his plans.
Axel is waiting for Sora and Co. in Twilight Town when they're seeking to enter the Realm of Darkness. Seeing Sora, Axel realizes that Roxas is never coming back and that he is now a part of Sora- somehow living inside him. Now knowing this, Axel decides to protect Sora and helps to fight the nobodies that appear. Finally, Axel even sacrifices himself by putting everything he has into one ultimate attack to save Sora and destroy the nobodies. When Sora questions him about why he did this, he replies that he just wanted to see Roxas again and apologizes for kidnapping Kairi. Sora tells Axel to tell her himself, but Axel just laughs and says he'll pass. His heart just wouldn't be in it. He disappears. This may seem like a bitter fate, but in the end, they both got what they wanted most. Roxas found out who he was and became that person again, and Axel experiences things that nobodies can't: love, friendship, loss, and regret.
Sora: "Axel, what were you trying to do?"
Axel: "I wanted to see Roxas. He...was the only one I liked... He made me feel... like I had a heart. It's kind of... funny... You make me feel...the same... Kairi's in the castle dungeon. Now go."
Sora: "Axel..."
- Kingdom Hearts II
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