Depends on how you feel about special features in the first place. For me, a huge part about buying DVDs is watching the special features, LOL, so it's always worth it for me.
I dunno, they have your basic run-of-the-mill director/screenwriter/cast interviews throughout an interesting comic-strip-looking format. Listening to the Nolan/Goyer interviews now makes me trust that TDK will be good, actually, because of how Nolan first approached the BB project.
There are a few easter eggs hidden in the comic, which are pretty fun (including some shots of stunt tests - Batman on fire!). They are no bloopers or deleted scenes. I don't really mind, since I watch special features mostly for the behind-the-scenes stuff. How sets look, how they did the lighting and shots, etc. Watching Chris Nolan walk through the batcave river set in knee-high rainboots was
Those sets are amazing.
I don't know if you can get your hands on the SE which contains the little comic book. It's really cool, and it was a great introduction to the Batman comics for a newbie like me.