I preferred Batman Begins but I think it might be because that one ended on a lighter, more positive note. I found the end of TDK a bit daunting but I guess it's a good thing, adds to the darkness of the tone, gives a good sense of foreboding.
But I'm not going to go off on one of my Batman waffling sessions, I'll start another thread maybe, hehe. Suffice to say even though I didn't like TDK as much as begins, it's still the best film I've seen in a long time, and Heath Ledger (RIP, damn shame!) did the best job anyone could ever do on the Joker, he was amazing! :D