My interpretation of the Gordon death scene:
Gordon is at the parade, looking for the joker ("there's a lot of windows") to stop the killing (obviously, his Plan A) but can't find him
His Plan B: he stays close to the layor on the podium, with the aim of taking the bullet instead, protecting the mayor
Gordon stops the bullet with his flak jacket and is knocked out, hence stephens expression
When conscious, Gordon exploits the situation - tells Stephens his plan, allowing the joker to have seemingly taken another "victim" - preventing any more killings that day - it also protects his family (although this is mostly foreshadowing to the finale - and perhaps a reference to the Killing Joke)
Gordon lays low, but is allowed access to the truck chase (again by Stephens)
Once the joker is "safely" arrested Gordon can reveal he is still alive (in style!)
The joekr escapes, effectively calling Gordons bluff
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Both a major strength and weakness fo the film is the fractured plotting - it invites the audience to fill in the blanks, but on the surface of it, the content of the film is basically:
Gordon looks for Joker
Gordon is dead
No he's not
We have to do a lot of the work!