The Theory: Let's start with a popular one: at the end of The Dark Knight Rises, a grief-stricken Alfred concocts a false reality in which his charge Bruce Wayne survive, faking his own death in order to ride off into the sunset with his new love interest Selina Kyle. He never actually sees Wayne at the cafe at the end, which would help explain the inauthentic feel of the happy ending, and the utter betrayal of the character genesis up to that point.
On another Inception style level, it's actually possible to suggest that for the entirety of Nolan's trilogy, Bruce Wayne's increasingly unbelievable life was in fact imagined entirely by Alfred, the guilt-ridden butler who failed to prevent young Bruce's death when he fell into the well in the grounds of Wayne Manor. Driven mad by his failure to his masters, who abandoned Wayne Manor, Alfred concocted a life for his young charge whereby his falling into the well informed him becoming a superhero (absolving Alfred of guilt), which was still warped by the butler's grief (hence the darkness and the frequently miserable events).
In the end, the poor butler took his life when his grief became too much, and he was finally able to give Bruce the traditional happy ending he always wanted to.
The Proof: There are several strands that come together to prove at least the first part of the theory: Bruce Wayne would never turn his back on being Batman, because his story arc wasn't about finding himself and happiness (as it had apparently become by the end of Rises), it was about the tragedy of never being able to sufficiently avenge the death of his parents.
There is scant evidence that Selina Kyle is Bruce Wayne's soul-mate in the film. Why would he decide to run away with her? Auto-pilot or not, the nuclear-blast would still have killed Batman.
The second strain of the theory has no real proof, but it's still ridiculously compelling when you think about it. It couldn't have just been poor writing and inconsistent characterisation that allowed Bruce Wayne to survive surely?