The Dark Knight, for sure - There's certain scenes out of Batman Begins I particularly like, but DK overall was a phenomenon.
In of itself Batman is one of (only) favorite superheroes because he himself is such a morally grey character, and when you look into a lot of his villains they're outright perturbing.
Heath Ledger's Joker and a small handful of other renditions pull off the personae so well, as Alfred put it 'A man who can't be bought, bargained, or reasoned with' - My only criticism of the joker is the effect I've seen him have on other people. Just a touch past fandom and you run into the nutjobs who truly start to take things a touch too seriously.
But anyways, going on I can point out other villains
The Penguin - An introspective character for Bruce Wayne, and something of a silent warning against letting his money get out of control. Corruption and Greed play such a large influence...
And saving the best for last, -one- of my favorite villains of all-time, I just really wish he had an actor out there that suited him...(Besides Ah-Nuhld)
Mr. Freeze, a scientist who turned to building a criminal empire to fund saving his wife from a rare disease. I like him because he's a shade of grey character, Is he really evil because he loves his wife? A bitter and frigid personality belies a hidden rage against the world, and in of itself he's terrified of the thought of losing his wife, would she forgive him for what he's become?
It's hard to sum him up with any eloquence in a half-inch of space on a screen, but I suppose I wanted to throw that out there.
Looking forward to more Batman movies, I like the ones that have been out thus far!