The world Alex is currently in is like copper purgatory for those with unfinished business. Gene Hunt is the dead policeman Alex has kept seeing - the news report in episode 1 of this series was her hearing a news report on her TV in her hospital room about them finally finding his body. He wasn't really the big, brash man we know but became that in his fantasy afterlife - it gave him the opportunity to be what he never could be in life.
Therefore, in the Wizard of Oz analogy, he is Oz. He is the little man pretending to be something much greater than he is. Chris, Ray and Shaz are all dead and looking for the thing they lack (brains, a heart and courage respectively). In the end, Gene helps Alex get home rather than her passing on. This is to make up for Sam who he tried to keep here, figured out where he was, and passed over.
I guess we'll find out in an hour...