The Dark Knight returns is very, very good, but I like Year One even better. The Killing Joke is likewise excellent.
One of the best Batman stories I've read recently, tho', is a one-shot by Christopher Priest and (I think) Shawn Martinborough called The Hill. The basic premise is a ghettoized area of Gotham called the Hill, where this drug lord has the basic attitude of "Why the hell should I be scared of Batman? It's just some white guy in a cape." Bat's response is pretty much, 'I'll show you why'. It takes one of my favorite approaches to Batman; no matter how much of a badass you think he is, you're wrong, because he's a bigger badass than you ever imagined.
Hellblazer