The Penguin would be a really cool villain I think. I see him as some kind of wealthy, industrious weapons smuggler. (which would make it more plausible to have the umbrella gun...if he even needs that still) To me, he'd be a cut throat business man that would kill anyone in his way. He feels completely above the law. He's a huge threat to Bruce Wayne, because he has nearly as much money as wayne, and is committed to destroying all competition in Gotham. He's also problematic for Batman, since he would have prepared advanced weaponry to exterminate him.
This would also go really great to counteract the feel of TDK. Whereas TDK's villain is all about chaos, the sequel's villain would be about the institutionalized villainy. The Penguin is able to do evil things because he is rich and he knows how to manipulate the system. It puts Batman between a rock and a hard place; he can never trust complete lawlessness, but he can't fully trust the law either because it favors the powerful.
Riddler...could be anything from a brilliant paper pusher, who likes riddles and blackmail - to a mysteriously brilliant serial killer. Either way would work for me. Don't know if the story needs him though. I've never been a big Riddler fan.
Catwoman would be a great distraction as an ex-hooker gone cat burglar. Love it.
And, if it were me, I'd start the movie with a man being dragged into Arkham with a bag over his face. He would cross Joker's cell along the way (I'm totally down to see him with a new actor as long as its w/out make up and a buzzed cut), and then he'd be placed in an all white room with the hood yanked off. We'd see it's Two Face, and we'd know that in some way he's gonna play a role. I REALLY hope they don't get rid of Two Face. It'd be great to see a relationship emerge between Harvey and Bruce; I could imagine a story line in which Bruce comes to see Harvey way too often, because of his guilt.
That would give us Two Face, Penguin, Riddler (possible), Catwoman, and *hell, it'd be cool to see the Joker try to escape a few times if you ask me. That's plenty for a sweet story.