I re-read Long Halloween the other day (I'm really pumped up for the new game) and I think it was my favourite reading of it. I finally, completely understood the ending and it was easier to keep track of all of the different characters, having read it a few times before.
The only major criticism I have of it is that Bruce Wayne is basically, obviously-Batman the whole time. He's huge, athletic-looking and really brooding and grumpy the whole time. He even tells Selina (someone he doesn't even know well enough to know that she's Catwoman) that the only reason he's still in Gotham is because he made a vow to his dead parents.
I'm reading Dark Victory and I've decided that it's not canon for me, because its characterisation of Batman throughout the story is horribly wrong, culminating in the ridiculously implausible way in which he allows Robin into his world. I can't abide by Batman being so cold and heartless about Harvey Dent at the start of the story. It's a fun read and there are some great moments in it, but Loeb just gets it all wrong with the main character.