I didn't like how TDKR just dropped Chicago out of the blue. That didn't make any sense. For years since 2005, Nolan was like "Chicago is the perfect Gotham", then in 2011 and 2012 it's all "Gotham is naturally New York".
A bulk/majority of the locations seem to be in Pittsburgh and LA anyway, so yeah, pretty strange. Pretty much a far cry from what was shown in Batman Begins. I always loved the grittiness of the city. The graffiti, the hazed, the rust colored look, the rain. It was great, they nailed the look there from the Narrows to central Gotham (where Bruce looks like a hooded bum, listening to conversations). It looked like a completely different city and world compared to later films. Atleast The Dark Knight was still in Chicago like Begins though. It was sort of like the jump from the Anton Furst Gotham from '89 (probably my favorite Gotham, Begins following second) to the Bo Welch Gotham. The two looked completely different. Returns even had that same atmospheric, blue glow cinematography that The Dark Knight has.
Then of course TDKR had the Pittsburgh Steelers. The Steelers in a Batman movie. That will never sit right with me.