At the end of X-Men, Charles Xavier tells Wolverine to go to Alkali Lake in order to search for answers to his past. In the beginning of X2, Wolverine finds Alkali Lake but doesn't find anything of importance.
Later in the film it is revealed that there is a facility under the lake run by Striker. Striker has captured Xavier and uses powerful mind control to force him into using a second Cerebro to hunt down all mutant kind in hopes of detroying him. The X-Men find Alkali Lake with the help of Magneto and Mystique, and break inside in order to rescue Xavier, Cyclops, and the children kidnapped from the school. During the battle the dam is damaged. The team rescues Xavier, Scott, and the children and escape from the facility under the lake, leaving Striker trapped. The dam breaks, and Jean appears to be killed after fighting to hold back the rushing water while getting the damaged jet off the ground.
In X3, Scott Summers was depressed after Jean's death and came here. He heard voices and pulled his glasses off, shooting a beam into the water and revealing Jean, who had been transformed by her experience at the lake. They kiss and her eyes go dark, then you see Charles seemingly in pain. He says they must get to the lake immediately so Storm and Wolverine go to look. There they find Jean and take her back to the mansion.