Harley Quinn actually escapes from the Joker and lets herself be put into prison. This is in light of the fact he was going to kill her off like he did to so many other Harley Quinns before her (assuming the Joker wasn't lying).
The Joker has one with his return. He first cuts the power to the GCPD and then proceeds to murder 19 police officers all while making bad jokes and getting his face back before Batman gets the power back on. Terrifying to the extreme but also damn impressive considering he's just one man with no superpowers or gadgets.
Harley attacking the Joker in general. Her moving past her obsession with him and only doing what he said for Deadshot is pretty awesome. The fact that she had more success than anyone else aside from Batman helps.
Batman taking down Joker with a single sentence in the finale: whether or not the Joker really knows who Batman is under the mask, Batman knows who Joker is under that grin...
It gets better: according to Batman after the fact, at some point during Joker's imprisonment but after Joker had left his playing card inside the Batcave, to taunt the Bat Family with his knowledge of its location, Batman bribed his way into Joker's cell as Bruce Wayne, then brandished that playing card... and the Joker didn't react, suggesting that Joker can't see who Bat Family members are under the mask, or at least not Batman anyway.
Batman's journey through Arkham Asylum, where nothing will slow him down in his attempt to get to and stop Joker.
