Just the fact that, at no point in the entire film does it deviate from its depressing and hopeless tone. Arthur lives a lonely and tortured existence, suffering from a mental illness that only alienates him further. As the movie progresses, and Arthur's tragedy and abuse begins to pile up, he starts to lose his grip on reality while becoming increasingly homicidal. By the time we reach the climax, Arthur (now the Joker) has lost both his sanity and any moral restraint. Even as he triumphantly stands over a crowd of admirers, the music and tone make it abundantly clear that this is a tragic moment.
(Pictured) The opening scene, where Arthur is so depressed that he has to yank the corners of his mouth up into the shape of a smile, which just doesn't do the trick. And if one looks closely, a Single Tear is on his right cheek, smudging his makeup a bit.
Immediately following is a scene where a group of hoodlums steal his sign when he's doing promotional work as a clown. Arthur tries running after them (calling for help and getting no response), which isn't easy given he's wearing oversized shoes. Just when he thinks he's caught up to them in an alleyway, they smash the sign over his face. Followed by beating him until all he can do is lay on the ground in pain. To make matters worse, he looked like he was genuinely enjoying himself before they stole his sign, not just faking a good mood for the job.
This universe's Gotham just looks utterly horrible. The store Arthur is promoting in the beginning is going out of business, the trains look like they are crumbling (with the light not working half the time), and everything gives off a sense of gloom and failure. The same goes for the citizens, who are apathetic at best. Much is said early on how not only are the streets filling up with trash, but they are being plagued by super rats.
Whenever Arthur's condition causes him to uncontrollably laugh, in the most inappropriate situations that angers people he didn't mean to offend, with it visibly distressing and physically hurting him.
Usually the Joker's laughter is portrayed as campy, terrifying, or some combination thereof. Here, we see Arthur struggle with his rattling laughter, trying but failing to control it as it tears through him. It's the first time we see the Joker's laugh being this heartbreaking.
On several occasions, the sounds and facial expressions he makes are indistinguishable from uncontrollable sobbing. Is he laughing to keep from crying, or trying to cry and failing?
There's a scene when Arthur is on the bus and starts playing peek-a-boo with a baby who is staring at him, which makes the baby laugh. The mother then tells him not to bother her kid (which is sad enough, because he was making the baby happy) and he starts having a laughing fit. When she asks what's so funny, he hands her a card explaining he has a condition. Think about that — he had a laminated card to explain his condition in the 1980's. That's how many times something he couldn't control bothered/annoyed/confused someone, that he had to go out and have a card specially made just to receive a modicum of understanding. To make it worse, the mother possibly doesn't even care about this explanation. She turns around with an annoyed look on her face while Arthur laughs, like it's an inconvenience for her. Or perhaps it's pity on the woman's face. Either way, the scene really hammers in how Arthur doesn't really have a chance in the world of Gotham.
After hearing that he got attacked by some teenagers, Randall gives Arthur a gun to protect himself, which he carries everywhere. At the children's hospital, Arthur looks like he's having a lot of fun making the sick children laugh, when he drops the gun, and after trying to pass his fumbling attempt at picking it up as being part of his act, his boss fires him, saying that he's tired of all the complains against him. Arthur looks completely devastated, especially since it seems like he actually enjoyed being a clown since it made people laugh.
Arthur's joke journal contains this 'joke': "The worst part of having a mental illness is people expect you to behave as if you don't", with the words getting bigger and sloppier until we get to the DON'T that is three to four times larger than the other lines, with a smiley face drawn in the 'O'.
Another quote from Arthur's journal: "I hope my death makes more cents (sense) than my life."
When Arthur is with his psychiatrist, she despondently tells him that their current session will be their last, which prompts Arthur to reply with:
Arthur: You never listen, do you? You just ask the same questions every week. "How's your job?" "Are you having any negative thoughts?" All I have are negative thoughts.
You can actually see a bit of concern from Arthur's therapist as well: She isn't telling him it's their last session because she's given up. It's because they cut their funding. She even states to Arthur how "they" (Gotham) doesn't care for him nor her.
Arthur having an Imagine Spot where he watches Murray's talk show in person. In the daydream, Murray hears Arthur's laughter in the audience and asks him to introduce himself in front of the crowd. Now in the spotlight, Arthur talks about how his purpose in the world is to spread joy and laughter, which touches the audience's hearts. Impressed by Arthur's optimism and positivity, Murray invites him onto the stage to the roar of the crowd, and tells him that he's always wanted a son like him. Then... we cut back to reality. It's painful to watch Arthur dream about something that will never happen to him. Granted he does make it onto the show eventually, but we all know how that ends...
Arthur coming home from his first attempt at talking with Thomas Wayne to discover that his mother had a stroke while he was away.
Soon afterwards, Arthur sees Murray Franklin talking about him on his show. Arthur's surprised and happy to see that Murray had a special bit showing him off... until he realizes the only reason Murray drew attention to him was so he could insult and make fun of him on his show. Arthur's expression quickly fades from happy to disbelief and then cold, hard anger.
The heartbreaking reveal that Arthur was hallucinating Sophie's presence the entire time. She never went on a date with him, supported him at his stand up performance, or consoled him when his mother was in the hospital. He just imagined her because he needed someone to be there for him, when in reality, he was alone the whole way through.
Arthur steals a file on his mother from her time at Arkham, and finds out that she lied to him about everything. She adopted him after he was abandoned, and both she and her boyfriend had horribly abused and neglected him. And as he's reading this, something in him finally breaks. As he has another fit of uncontrollable laughter, we see that Arthur Fleck has now truly died. All that is left is a vengeful, homicidal monster that wants to get back at the world that wronged him.
You see Arthur's mother in a flashback and it's impossible not to feel sorry for her too — she looks so utterly broken, with bruises on her face and when the person talking to her asks how she could have left her son chained to a radiator, she explains she never heard him crying — she thought he was a happy boy. It's implied that, due to his condition, his constant fits of stress-laughter helped convince her he was just "happy."
His mother's lack of support earlier on in the film hits pretty hard too. Arthur is going on to her about how he's going to be a comedian, presumably in a bid both to cheer himself up and to make her proud. Her response?
Penny: Don't you have to be funny to be a comedian?
Making the matter with the file even worse? As discussed on the main page under Ambiguous Situation, it's actually possible that Arthur's mother wasn't making it up that Arthur is Thomas Wayne's illegitimate son, and instead he used his money and connections to create fake adoption papers and get her confined as mentally ill to avoid having to take responsibility.
The scene where Arthur rehearses his "knock-knock joke" for his appearance on Murray's show. Calling back to his joke about "his death making more cents than his life", his initial plan is to shoot himself dead on live television. When he practices his imminent suicide attempt with the unloaded gun, he imagines hearing the audience laugh and applaud at his "final punchline".
Murray: Not everybody, and I'll tell you this, not everyone is awful. Joker(coldly): ...You're awful, Murray. Murray: Me? I'm awful? Oh yeah, how am I awful? Joker: Playing my video... inviting me on the show... you just wanted to make fun of me. You're just like the rest of 'em.
In a way, Murray's death is actually quite tragic. Behind the scenes, he's proven to be a pretty friendly guy who shows signs of encouragement to Arthur, even obliging to calling him "Joker" and allowing him to wear his makeup onstage. On top of that, Arthur finally gets to fulfill his dream of appearing on the show with Murray at his side and an entire audience cheering for him (he himself seems a bit awestruck once he takes a seat); sadly, Arthur is so blinded by pent-up rage that he single-handedly destroys his own fantasy-come-true and coldly guns down the man he once saw as a father figure.
At the climax of it all, with the city aflame and the Waynes murdered, Arthur finally wakes up from the crash. Everyone's cheering him on, shouting for the Joker. And he looks around, and what was hinted at comes into total focus: nobody cares. Nobody cares about why Arthur's lashing out, or what he wants, they just know he kills people, and they fight him or follow him because of that. Arthur thought people were starting to notice he existed — but no, they just noticed the Joker. Nobody cares about Arthur. Just the Joker. So, if he wants people to notice him?
(Arthur takes the blood from his nose, and spreads it across his lips. The Joker laughs, until he's sobbing.)
Which is more tragic? That Arthur now has to play the part of the Joker to be noticed, or that all that is left of Arthur is the Joker?
To add more to the tragedy? Arthur right then accepts being the Joker, knowing that if he wants to be acknowledged, to be noticed... to know people know his existence... then he must fully become the Joker.
The simple fact that, like everything else about it, Bruce's parents are killed in front of him by Joe Chill, who had taken the words of the Joker in face value. The simple shot of the now traumatized orphan standing next to the bodies of his dead parents... with the knowledge of what he will become eventually.