The biggest thing that bothered me was how much Gotham changed between movies. In the first movie Wayne Enterprises is a large, central, Empire State Building-looking building that's not only a central hub for the El-Trains but also for the city's water reclamation. There were other things in "BB" that made Gotham look like it's own city while still keeping it in the mundane and not going over-the-top gothic looking like the Burton/Schumacher films did. But in TDK now only is the Wayne building vastly
different looking (though, I guess, it could just be a branch or secondary building or something) but the city as a whole looks very different and doesn't even try
to not look like Chicago.
(The ferry scene stands out, hugely, as looking like Chi-town.)