I very much like the scene that generally wasn't in the theatrical cut, but made it into the DVD--and which I believe has been already mentioned by Pravoslavnaya (haven't watched the film since March!)--because it also includes Nicholas calming his children's fears by speaking to them very directly, very rationally, and with a great deal of affection. I liked Michael Jayston throughout the film, and in particular in this scene. Just the kind of man an intelligent woman would want to be the father of her children!
Also, since some of us are commenting on scenes they don't like . . . well, as I flinch at depictions of violence, much of Nicholas and Alexandra does of course disturb me, but especially the crying child during the Bloody Sunday scene; the scene where the rabbit is actually skinned--I look away/plug my ears/turn down the sound/or whatever it takes at that point--plus, of course, the final scene. I usually tune that one out, too, although I appreciate it for the masterful job of editing. All of us know what is coming, but the editor heightens our suspense (and heart rate) by the brutally excellent sequencing of scenes.