Roxas is the "Nobody" of Sora, while Axel is the best friend of Roxas, also being a "Nobody" himself. They were at one point members of "Organization XIII," an elite group of Nobodies. Their relationship is explored within multiple games in the series.
Axel is initially portrayed as an antagonist, but as the story progresses, his motivations and past with Roxas are revealed. It is never stated who exactly Axel is the "Nobody" of. Some suspect him to be the "Nobody" of Reno from "Final Fantasy VII" as some characters from that franchise make an appearance in this game. Roxas is also a playable character in "Kingdom Hearts II"