I don't think a Batman set in the 30s or 40s would work for me (it'd make the Bat-technology a bit less plausible and more out of reach.) But I'd like to see it in the present with Gotham having a stylized look of a gothic 1930s/1940s. Just like I'd like to see a Superman movie set in the present but also with style inspiration of mid-century Americana.
Kevin J. Anderson wrote a really good book that featured both Superman and Batman meeting each other for the first time and set it in the 50's, with the cold war being a major component. It stripped everything back to its roots and felt more down-to-earth. The technology felt more plausible too. In a way, it felt a bit like a Superman and Batman reboot, with the Batman part feeling quite a bit like what we got with Nolan's Batman Begins. It was a fun refreshing read.