- During his first meeting with Harvey, Gordon says something to the effect of, "If I only worked with cops you haven't investigated, I would be working alone."
- Considering that the Joker alerted the police as to who he was going to kill, I have to think that he knew he had a limited amount of time in the penthouse, and so he just left after not finding Dent (I do agree there could have been a 30 second scene of Alfred explaining to Bruce that Joker left after tossing Rachel, though. This is my only real gripe.)
- Gordon brings some cops with him to the Two-Face confrontation, and I imagine Lucius was monitoring the police, and clued in Batman.
- The Joker killed the last police Commissioner, witnessed Gordon being appointed new Commissioner, and possibly even made a silent threat with his sarcastic clapping. I don't have any problem believing that Gordon would find it necessary to protect his family.
He clearly can't just leave Gotham in the middle of a crisis to take them out of town himself, and by the time he fakes his death, it's fairly obvious that there aren't a lot of people he can trust to do it for him. Also, given that the Joker is inspired by Batman, and knows that Batman has no jurisdiction, it's not a big leap to believe that the Joker would try to go after Gordon's family no matter where they hide.
Also, at the time Gordon fakes his death, you have to think that Batman has given serious consideration to turning himself in, and knows that he's going to need someone on the inside who he can trust. The only person who fits that bill is Gordon, and if the Joker believes Gordon to be dead, then Gordon is going to be beyond threats.
In fact, I think Bruce was under the impression that he, not Harvey, would be the one in the back of that SWAT van, and he wanted Gordon driving it.
- As far as the gas cans on the ferries go, I'm pretty sure that ties into the theme of the movie. The Joker doesn't have second thoughts -- as he says himself, he just does things. Now, I imagine you're supposed to believe that one of his guys accomplishes the actual loading, but I'm sure the Joker holds his "employees" to his own standards, and I'm sure that questioning his orders results in some kind of magic trick.
He would have no problem with buying some coveralls, throwing a fake lamented badge around his neck, and using a dolly to walk some gas cans onto the ferries. Maybe a ferry worker would stop him, but if he looks like he belongs, there's a good chance he's going to get away with it. That's one of the unsettling things about this movie -- when you start thinking about what a person with no real fear or morals can accomplish, it's pretty frightening.
A member mentioned a while back that during the opening scene, before the van picks up the Joker, someone probably would have called the police when they saw a guy with his face painted standing on the corner. I disagree. I bet that if any one of us who lives in a big city walked out onto the street with our face painted, and stood there for 30 seconds before getting picked up by a friend, no one would do a thing. They might think about it, but then they would think about having to wait around while the police came, and whether or not they wanted to possibly cross a guy with his face painted to begin with, and then they would just keep walking.
I think that's another theme of this film: doing the right thing is a lot harder than just ignoring the problem and going on with your life.