Basically, what Vader said.
The whole anarchy in Gotham and war at the end. I really adore these types of movies, with revolutions, uprisings etc and TDKR gave me exactly what I wanted.
The music was incredible. Deshi Basara was probably the greatest addition to the score, it makes it unique, and now everyone who hears those two words, instantly thinks about TDKR.
Bane, possibly my favorite Nolan character and one of my favorite villains of all time. And his fantastic speeches. STEP FORWARD THOSE WHO WOULD SERVE, FOR AN ARMY WILL BE RAISED.
The stories told by the prisoner to Bruce. Those hit me really hard, the cinematography and the music made those scenes really eerie and mesmerizing.
The climbing out of the pit. Another brilliant idea, the parallel between the well Bruce fell in and the pit, and of course, the third try, without the rope. One of the most emotional moments in the whole trilogy.
Catwoman. Everything about her, Hatthaway's acting, the character itself. My favorite female character in a Nolan film, along with Natalie.
The first fight between Bane and Batman. Just perfect.
There may be other stuff I can't think about right now, but that's it, basically. One of my favorite films of all time