Only two distinct things bugged me when I walked out of the theater the first time:
1. The death of Two-Face. I really would have loved to see the character used as a villain in the next film.
2. Bale's Bat-voice was inconsistent, and I'm not sure if it was all to blame on him. The sound editing sounded like his voice was given more "echo" in some scenes as opposed to others. When he was speaking with Gordon and Dent, it was fine. When he said the "hockey pads" line I was thinking "Riiiiicola!"