I don't know that order is necessarily important except for one thing: read Year One before you read Long Halloween as it kind of continues the story (at least the characters).
Year One is a great place to start reading Batman. It is pretty much an origin story that tells much of his first year as Batman. Be prepared to not see any of the big villians (other than Catwoman and a pre-acid in the face Harvey Dent). Some of it may seem familiar to you if you are coming from having watched Batman Begins.
Long Halloween is one of my favorite stories of the last 10-20 years of Batman. It is essentially a very long telling of Two-Face's origin with a pretty decent mystery in the background.
I have recently been on an Arkham Asylum kick as of late. It goes much deeper into the psyche of Batman and his world then any other book. Its pretty intense and very different (no Batmobile, gadgets, Robin, etc.) than most other stories.
Killing Joke is one of my favorites and presents what is typically accepted as the best origin of the Joker. It is a bit of a controversial story though, because of the "current events" taking place as opposed to the flashbacks. It is a story that people generally either love or hate with few in the middle.
Dark Knight Returns is a great story about the future of Batman. I really like the story, but at times I think it is a bit overhyped. Frank Miller is great at times and others he isn't. This book does show its age a bit being very reflective of the time in which it was written. I also tend to think that it inspired much of the Batman stories of the late 80s and much of the 90s. That is either good or bad, depending on if you liked those stories. Some I liked, others not so much.
Ultimately, aside from reading Year One before Long Halloween, the order doesn't much matter. At least IMHO. Others may have different views on the relative merits of these stories. they do seem to be on most peoples' top-ten Batman stories though.
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