The Alien Lake refers to the lake located in Middle Park that is shaped like an Alien. The lake itself is massive and is several city blocks long. The best way to see the Alien figure is from above in a helicopter or one of the nearby skyscrapers across from the park. The strange figure is widely accepted as being an Alien and was one of the earliest Easter Eggs discovered in GTA IV.
At ground level the lake and it's surroundings do not offer any clues regarding the Alien. However, there are various easter eggs and tongue in cheek Adult Humor references scattered throughout Middle Park, making the Alien figure seem more and more that it was purposely added into the game.
Due to the fact the Alien figure can only be properly viewed from above, it is a nod to crop circles found in the countryside, except this one in in the middle of a city.