I can only speak for myself, but comic book superhero movies (CBMS now, haha) feel pretty claustrophobic, for lack of a better term, especially in character motivations. The villain only cares about killing the good guy and world domination (or something akin to that), the good guy only cares about catching the bad guy and getting the girl, who only happens to be in the story because the good guy likes her.
In TDK, I felt that each character had his/her own motivations and they didn't just involve the subjects I just listed (killing good guy/getting bad guy/achieving or preventing world domination). I mean, the mob conceded that they should kill Batman, but that wasn't their primary motivation. All they really wanted was to get their money back. Batman could beat up murderers and rapists for all they cared, but the problem was he was going after them and their revenue stream. Joker wasn't exactly going after world domination, he just wanted to prove that people are hopelessly savage at their core. Each of the good guys (Batman, Dent, Gordon) also had their own motivations and made different decisions from each other. That wasn't always the case in other CBMs.