Actually Pretty Funny: The Joker's joke, which is an analogy of how hopeless it is for one insane man to try and save another insane man. It's so sadly relevant, Batman can't help but join the Monster Clown in bitter laughter.
Batman's monologue, featured at the beginning and given a Dark Reprise towards the end.
The first words are "There were these two guys in a lunatic asylum", the beginning of the joke which Joker tells at the end.
Canon Welding: This aspect is not quite well understood since it's usually seen as an One-Off and became part of the Post-Crisis continuity but Alan Moore wrote the comic based on the previous origin of the Joker, Detective Comics # 168 which established the Red Hood and Joker's fall in a vat of chemicals.
This also stemmed from an attempt to resolve the contradictions of his characterization. In the first origin story, written by Bill Finger himself, Joker is a sane criminal mastermind who switched from one gimmick(Red Hood) to another(Joker) via a chemical bath. In the Bronze Age, Joker was made into a homicidal psychopath who was insane. As such, Alan Moore's origin balanced a latter-day interpretation of an insane Joker with the older origin of a sane criminal by emphasizing the transformation coming from a Trauma Conga Line and Joker's own memories of the incident having becoming fuzzy leading to the multiple-choice past aspect at the end.
The Batcave in its brief glimpse is comprised of elements from the Dick Sprang era namely a photograph featuring Bat-Mite who would otherwise not be welcome in such a story.
Does This Remind You of Anything?: Alan Moore insists Joker didn't rape Barbara, though it certainly looks possible on a casual reading. Moore did suggest, in one interview, that it's possible to read Joker having three circus midgets strip Commissioner Gordon as implying his rape.
Elseworlds: A number of fans believe Moore originally intended for the story to be a one-shot non-canon story and Executive Meddling integrated it into The DCU; it certainly would explain why Batman has a picture of Pre-Crisis Bat-Girl and Batwoman on his desk. Word of God says The Killing Joke was always intended to be in continuity, however. It should also be noted that far in advance of the graphic novel's publication, Len Wein commissioned Barbara Kesel to do a Secret Origins issue and a one-shot Batgirl comic in order to tie-up any then-extant loose ends for the character.
During Commissioner Gordon's Willy Wonka-ish roller coaster ride, a collection of photographs◊ are projected displaying Barbara after being shot. Among other things, the photographs show Barbara's fully exposed breasts with little censorship, in a manner not usually seen outside of a Vertigo comic.note If you don't see it, look behind Joker's speech bubble in the middle panel. It was hidden well. As interesting as this would normally be, the fact Babs is covered in blood and in obvious agony tends to belay any sexual connotation.
When being dragged before Joker after regaining conciousness, a full frontal of Gordon is given. While he's mostly obscured by shadow, it appears that the artist left in a bit of detail.
Freak Out!: Despite going through one, Gordon manages to avoid going crazy.
Subverted. After telling Joker about his failure to break Gordon - and mindful of his own "bad day" - Batman asks Joker to consider if he was wrong: "Maybe ordinary people don't always crack. Maybe there isn't any need to crawl under a rock with all the other slimy things when trouble hits... maybe it was just you all the time."
From Nobody to Nightmare: Joker was (at least in this story) a failed stand-up comedian who wanted to make a little money to support his family. Now he's Batman's greatest foe.
Getting Crap Past the Radar: The scene of Barbara's shooting, where the Joker strips her naked and sends pictures to her father, has some of the most explicit nudity that you'll ever see of a well-known superhero in a mainstream comic book. They got that past the censors, but showing the same amount of nudity in a sex scene between two loving partners is still considered unacceptable in a mainstream superhero series.
The Joker: Faced with the inescapable fact that human existence is mad, random and pointless, one in eight of them crack up and go stark slavering buggo! Who can blame them? In a world as psychotic as this... any other response would be crazy!
Karma Houdini: Joker. Batman barely even hurts him, forgives him, offers him help and Joker even gets to make him laugh...despite the fact that Joker got to torture the Gordons and cripple Barbara.
However, this could be explained by the fact that Batman began this story with the goal of offering Joker one last chance to end their battle before one of them or both of them ended up dead. He truly did try to "save" the Joker, and to have him pull off something this atrocious might be what makes the Bat laugh so bitterly with him in the end, because he realizes that it's hopeless to even try.
Later comics had the Riddler pop up as a possible witness to the "bad day" which birthed The Joker - only to tell a different version of the story (one which isn't considered canon, too).
Nameless Narrative: Neither Batman or Joker are referred to by those names throughout the story (save for Batman looking up Joker's info in a computer). In newspaper headlines, it's "Disfigured Homicidal Maniac" and "Bat-garbed Vigilante"/"Crimefighter".
The French translation, Rire et mourir - "Laughing and dying", "To laugh and to die", or "To laugh and die" - botches this trope in the first scene when Batman, having discovered an impostor in Joker's cell, shouts "Vous n'êtes pas le Joker! (You're not the Joker!)".
No Ending: Partial example. Though the story itself is wrapped up quite nicely, there is not a denouement.
No Pregger Sex: Played with. While the Joker's possibly non-existent pregnant wife assures him that everything will be okay, she mentions that he is "good in the sack", but it isn't made clear whether or not they had sex while she was pregnant.
I spoke to Commissioner Gordon before I came in here. He's fine. Despite all your sick, vicious little games, he's as sane as he ever was! So maybe ordinary people don't always crack. Maybe there isn't any need to crawl under a rock with all the other slimey things when trouble hits. Maybe it was just you, all the time!
Prequel: An issue of the team-up series The Brave and the Bold (#33 of the 2007 relaunched series) featured a team-up between Zatanna, Wonder Woman, and Batgirl, as Zatanna apparently decided to go clubbing with the others after a vivid dream. Zatanna and Diana repeatedly reiterate the need for Barbara to enjoy the night and not to spend all her time preoccupied with crime-fighting, particularly making a point of having her dance. The story is touching and beautiful and funny (including what appears to be a karaoke rendition of Beyoncé's Single Ladies (Put a Ring on It)) - until the night ends and Diana asks if Barbara has ever heard of oracles. Zatanna's dream was a prophecy; she knew Barbara would be paralyzed, and since she could not change the future, she decided to give Barbara one final night of normalcy before her life was irrevocably changed. The final pages of the issue feature a re-creation of the pages from The Killing Joke where Barbara was shot (including the conversation she was having with Commissioner Gordon at the time) and end with The Joker shooting Barbara as she opens the door.
Psychological Horror: The Joker uses the most disturbing images possible to break Gordon. He fails; Gordon remains sane.
Redemption Rejection: The Joker has enough humanity left to be sad about what he's become, but he bitterly admits he can never be a good person again, no matter how much he actually wants to be one deep inside.
"No. I'm sorry but... No. It's too late for that. Far too late."
Rule of Symbolism: Joker's final joke is an obvious parallel between himself and Batman - it's a tale of a man who's insane but functional (Batman) and a man who's completely off the deep end (Joker).
Also, Batman is insane for fighting for a hopeless cause and in turn offering a false hope. The Joker is insane for believing in the false hope, but is too cynical and distrustful of humanity to take it.
Sad Clown: The finale displays this when both Joker and Batman hysterically laugh at the cruelty of their lives, which drives in how deeply both these men have been hurt. Joker must substitute laughter for tears, or the ponderous weight of his sadness would crush what little will to live he has left.
Sanity Slippage: Lampshaded by the Joker when he states in his monologue that one bad day can reduce the sanest man alive to lunacy.
Shut Up, Hannibal!: Once again, Batman delivers one to the Joker (a running theme between these two).
Joker: It's all a joke! Everything anybody ever valued or struggled for... it's all a monstrous, demented gag! So why can't you see the funny side? Why aren't you laughing? Batman: Because I've heard it before... and it wasn't funny the first time.
Maybe there isn't any need to crawl under a rock with all the other slimey things when trouble hits. Maybe it was just you, all the time!
Single Issue Psychology: Joker's "one bad day" is what turned him into a psychopath. This is subverted - and since this is a Batman story, the subversion is rather shocking. Batman tells Joker that there was clearly something wrong with him to begin with, and he should have looked for help.
Alan Moore stated that this was a major issue for him in why the comic is not a complete success in that while he strove to give Joker a motivation and origin with some amount of psychological consistency that fit with his general characterization, he ultimately felt that it didn't resolve itself completely because both Batman and Joker were comic book characters whose larger than life gimmicks overshadowed any attempts at realism.
Slasher Smile: This one's mandatory; it's the Joker we're talking about here.
Spanner in the Works: Commissioner Gordon, in an indirect sort of way. The Joker's plan was all about proving that it just takes "one bad day" to drive a normal man to insanity, but the fact that Gordon made it through his ordeal without losing it provides a huge counterpoint to The Joker's theory. This even makes The Joker take a serious moment of self-reflection when Batman throws this in his face near the end of the story.
Stuffed In The Fridge: Babs gets this treatment in Killing Joke. Rumor has it that when Alan Moore asked if it was okay to shoot and paralyze her, editorial sent back a note saying "cripple the bitch." Later, John Ostrander and his wife Kim Yale, horrified at her treatment and determined to fix it, had Babs take a level in Badass in order to become the uberimportant cyber superhero known as Oracle.
To his credit, Moore felt bad about what he did to Babs and wanted to restore her ability to walk in order to make her Batwoman (a storyline popular in fanfiction) - but since she'd already become Oracle by the time he suggested the idea, it was scrapped. Babs would eventually regain her ability to walk with a neurostimulator, and she would later return to the role of Batgirl when DC rebooted its entire line with "The New 52".
Thou Shalt Not Kill: Gordon tells Batman to bring the Joker in alive to "show him that our way works."
Trauma Conga Line: This is what Joker went (or might have gone) through during his "one bad day." He throws away a stable career working at a chemical factory to pursue his dream of becoming a comedian, but fails miserably at it. After falling into serious financial trouble, he agrees to lead a couple of mafia thugs through the factory in order to provide for his wife and unborn child. On the day when he's supposed to do the job, his wife dies in an accident, rendering the job meaningless. The thugs fake sympathy for him, but force him to go through with the job - and tell him to use the money for a funeral for his family. He leads the thugs through the chemical plant, but they're soon spotted by security and shot to death. Batman shows up, believing the man who would be Joker to be Red Hood (since he's wearing the Red Hood costume). He proceeds to jump into the polluted water and swims to safety, then realizes that his skin is burning. When he takes off the hood, the first thing he sees is his reflection in a puddle: green hair, pale skin, yellow teeth, and bloodshot eyes. At this point, he just starts laughing.
Brian Bolland hated the original coloring, which is intentionally garish and jarring. He approved of the re-release on one condition: he had to be allowed to personally recolor it.
Villainous Breakdown: Killing Joke features a clever little inversion: the breakdown itself is how Joker became the villain.
The end of the comic arguably counts: when Joker learns his attempt to break Gordon failed, he seriously considers Batman's offer of a possible redemption before declining. The Joker actually becomes sane for a few brief moments.