Why so serious?

One of the great things about this film is, a fair part of it is open to interpretation as to whether its real or imagined.

Since its established that at least parts of it are (being in the audience on DeNiro's show and his relationship with his neighbor), the rest leaves questioning for those who wish to question.

Since, at the end, it flashed to Bruce Wayne standing over his murdered parents... Arthur himself might have been the murderer. And, that's why he was in the mental hospital.
Remember, the shrink asked him then, "Have you come to grips with why youre in here?"
If he'd done all we saw him do, this would seem an absurd question. We know he killed at least 6 people (maybe as many as 9) and was indirectly responsible for others.

I choose to believe that what we saw happen, happened (with the obvious exception of what they told us were blatant delusions).