Check out this amazing article about The Dark Knight on Wired:
Dark Knight Director Shuns Digital Effects for the Real Thing
Not convinced? Check out the first paragraph, though be warned that it contains SPOILERS, and you should stop now if you don’t want to know anything:
Base-jump off one Hong Kong skyscraper, smash through the window of another, grab the Chinese crime boss, then hitch a drag chute to a passing C-130 cargo plane for a daring aerial escape. And on to Gotham! An instant, no-fuss extradition in the best tradition of American vigilantism. Just another working day for Batman and, presumably, just another feat of digital wizardry for the visual effects team. Except for one thing: Christopher Nolan, director of The Dark Knight, wanted to do it for real.
(Though later in the article it says that a digital element had to be used because the Chinese government wouldn’t give them permission for something, HOWEVER, the C-130 is real. Awesome.)
Another excellent bit on Nolan’s philosophy:
Nolan has a cogent Theory of Applied Batmatics: Insist on reality — no effects, no tricks — up to the point where insisting on reality becomes unrealistic. Then, in postproduction, make what is necessarily unreal as real as possible. “Anything you notice as technology reminds you that you’re in a movie theater,” Nolan explains. “Even if you’re trying to portray something fantastical and otherworldly, it’s always about trying to achieve invisible manipulation.” Especially, he adds, with Batman, “the most real of all the superheroes, who has no superpowers.”