Source code:

par(mfrow = c(2,1), mar = c(2,2,2,2))
t = seq(-4,9, len=200)
plot(t,dnorm(t), type="l", col=0, axes= F, xlab = "", ylab="")
crt=  qnorm(0.975)
polygon(c(crt,crt, t[t>crt]), c(0,dnorm(crt), dnorm(t)[t>crt]), col = 4, lty=0)
polygon(-c(crt,crt, t[t>crt]), c(0, dnorm(crt) ,dnorm(t)[t>crt]), col = 4, lty=0)
abline(h=0)
lines(t,dnorm(t), type="l")
text(-4.5,0.4, "Distribution of statistic under\nNull hypothesis", adj=c(0,0), xpd=NA)
text(3.5, 0.23, "Critical value - value of statistic such \nthat probability of rejection under Null\n(blue area) equals desired\nsignificance level (e.g. 0.05)", adj=c(0,0))
tt= -1
arrows(-2, 0.37, tt, dnorm(tt), length = 0.1)
arrows( 6, 0.2, crt, 0.1, length = 0.1)
plot(t,dnorm(t-crt - qnorm(0.9)), type="l", col=0, axes= F, xlab = "", ylab="")
crt=  qnorm(0.975)
 polygon(c(crt, crt, t[t>crt]), c(0,dnorm( -qnorm(0.9)), dnorm(t-crt - qnorm(0.9))[t>crt]), col = 2, lty=0)
lines(t,dnorm(t-crt - qnorm(0.9)), type="l")
abline(h=0)
abline(v = qnorm(0.975), xpd=NA, lty=2)
text(-4.5,0.4, "Distribution of statistic under\nAlternative hypothesis", adj=c(0,0), xpd=NA)
text(5, 0.3, "Power of test - Probability\nstatistic exceeds critical\nlevel under alternative\n(red area)", adj=c(0,0), xpd=NA)
arrows( 6.5, 0.27, 4, 0.1, length = 0.1)
tt= 0.9
arrows(-2, 0.37, tt, dnorm(tt-crt-qnorm(0.9)), length = 0.1)

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