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.)
Not as much as the confrontation on the street with Joker when he's standing in front of a well-known sweet shop on LaSalle Street, prominently named "Sweet Home Chicago". Great candy there, though.
The Dark Knight is an extremely enjoyable movie with the usual amount of unbelievability that are part and parcel of all superhero stories. This clashes somewhat with the generally naturalistic style of the film so that contrast feels pretty stark. The movie also suffers from the same thing all Nolan films suffer from - a kind of breathless pacing through the fairly complicated exposition, followed by sometimes ponderous pacing through the payoff (compare the whole Lau set up and the ferry scenes with Inception's introduction of Ariadne to dream architecting and the ice-level action sequences), as well as kind of remoteness that can make it difficult to feel the emotional trauma of the main characters. Again compare Bruce's grieving for Rachel scene with Inception's final reveal of how Cobb knows the act of inception is possible - these should both be heart-breaking scenes, but they feel cold and intellectual rather than emotional.
Dark Knight is an interesting
movie, however, just like most of Nolan's other films. It's ballsy for a superhero movie and it's a postmodern delight, mixing genres with careful calculation. I'd agree with whoever said it seems to be something without actually achieving any thematic coherence - but it's far more "about something" than most superhero movies because at least it tries to get into some issues about what heroism and villainy are in a complicated world, while at the same time being a satisfying superhero movie - even if it's not completely successful at saying anything profound.
As Batman movies go, it's hard to say if it's good or bad because people are very split on what a good Batman movie means, depending on which version of the character you like. I've always been fond of the particular version that seems to have inspired Nolan, so it really works for me, but I can see where others would find it unsatisfying on that score.