I loved the look of Gotham City. Don't know if it was a "set" or filmed in a particular city, or computer generated, but it sure had a NYC look to it.
It was filmed in Chicago, TIS.
SB (and TIS), if you like Bale, check out
American Psycho. And
The Dark Knight is his third effort with director Christopher Nolan; he obviously worked on
Batman Begins, but he's also in
The Prestige, one of 2006's best films, an exciting, exhilarating thriller based on two rival magicians. Fantastic film.