Absolutely just made the experience that much better. It put Batman in a real world mindframe for me. Almost every shot I could pinpoint where it was located (actually, I think every shot I could) which was really neat to see. I have a rundown of the list of locations you see in the movie from an old newspaper article that listed them. It's pretty neat. It gives street addresses, including the bar that TwoFace was at.
My favorite was seeing the Sears Tower every once in a while since I work there (Batman was standing on top of it and then when they were transporting Dent you could see it).
There a couple of things that I will say that I wish they would have changed. The store names was one. I noticed Chase, Starbucks, Old Chicago bar, and a few others. I wish they would have made it like "Gotham Coffee House" or "Betty's House of Pies" from the viral game...that would have been cool! A little nod to fans rather than putting real companies in there. Although, it grounds the movie in reality more I suppose. Why wouldn't there be a Chase bank or Starbucks in Gotham if they exist in the real world?
The other problem I had was the absense of the Monorail and Wayne Enterprises from the first movie. You could see the monorail in the background, but it wasn't a focal point at all whereas in BB it was definitely more prevalent. Wayne Enterprises was there but in a different building all together, which bothered me slightly. In BB, Wayne Enterprises was The Board of Trade building on LaSalle St., the same building that is behind the Joker Semi as it flips and the same building that the batpod rolls up and turns around on (bad bad bad ass scene if you saw the movie...so cool). Now, for BB, if you watch the extras on the DVD, you can see how they took The Board of Trade on LaSalle, CGIed it to make it taller, and stamped a Wayne Enterprises emblem on it. There is also a pic of Batman gliding in front of it that was shown on Gotham Tonight amongst others. In The Dark Knight, that building was no longer WE, it was simply just left as is as the Chicago Board of Trade.
I did not like that...even though I still think the movie was a pure masterpiece and perfect in just about every single way.