Mine was the death of Two-Face. I liked him almost as much as the Joker, to be honest. I fully understand that his arc was closed that way, and a lot of the film's focus was around him (so he wasn't Venom-ized), but still, I hate the fact that he is gone for good now. They just ran out of villains for the future sequel/s (if, of course there will be any), because, well - Ra's is dead, Two-Face is dead, the Joker is alive, but the actor is dead and shouldn't be replaced, and the Scarecrow is alive, but he is so small-time that he just can't be taken as a serious threat anymore.
So what now? The Riddler? Yeah, he can fit just right in Nolan's world, but he just ain't that dangerous, especially after what was done to Gotham by now. Catwoman? Yes, they alluded to her, but she is even less dangerous threat than the Riddler, besides I don't see her being an actual and serious love interest to Bruce after Rachel's death, which takes right away much of her potential as a character. Bane? Sure, he is dangerous enough, I'll give him that, but having him in a sequel would be kinda repeating the thing with the Joker - the mob hires a dangerous freak to deal with Batman once and for all. I don't see any other way he can be introduced. The others are just either too fantastical (Mr. Freeze, Clayface, Ivy, Man-Bat) or too small and unworthy to hold a movie on their own (Black Mask, Mad Hatter, Firefly).
Besides, I find the irony of the fact that the Joker (as a character) survived and was locked up in Arkham, but Ledger is dead and there is no way to replace him, IMO, while Two-Face (as a character) died, but Eckhart probably would've had no problems to return if his character survived quite annoying.