I love Caine's Alfred. He brings so much amount of warmth, wiseness and humor to these films.
Infact one of my favorite things about these films are the reoccurring characters around Batman and the quality of them in terms of writing and acting. Alfred, Gordon and Lucius all feels like my friends and I can't wait to see them again in new classic scenes in TDKR.
My favorite scene with Alfred is probably the one after Rachel's death. Both Caine and Bale make such heartfelt, understated and brilliant performances in this scene. It's beautifully composed visually too.