The Dark Knight Returns was/is an extremely important event in comics history, but IMO there are better comics out there. The Batman in TDKR is building upon Frank Millers earlier Batman stories, and he's quite different in many aspects, as is the world. It was one of the first comicbooks that I read, and it surprised me a lot, because it didn't fit my view of Batman very well. Now that I have read so many more comics I can better appreciate where it's coming from, and enjoy it as it is, but I wouldn't actually recommend it for a first timer.
Batman: Year One on the other hand, is just perfect. The Killing Joke wasn't exactly my cup of tea either, but mileage varies. Kingdom Come should be a very, very good comic, and it is high on my to-buy list.