I love a good mystery. Whatever Happened To The Caped Crusader sure is one. While readers loved the first issue, we all got to the end not quite certain what was going on. And the last line of the first issue is: "You're the world's greatest detective, Bruce. Why don't you figure it out?" That's a mystery!
What is the mystery? Well, just what the heck is going on. Is this wake happening at all? Probably not, because impossible things happen. (Multiple versions of the same character, for example.) So it appears that Bruce and some mystery woman are witnessing a vision of Bruce's wake, a vision which is not real. He is disoriented and being manipulated by her. She wants him to witness this vision, so it seems as though she has something at stake.
This detective's opinion is that Selina Kyle is the mystery woman.
a) The story starts with us seeing Selina driving a car, somewhat recklessly. This symbolizes that she is in control, and playing roughly with anyone around her.
b) The first line that Bruce mutters "Where am I?" is repeated when he's dying of blood loss in Selina's story. This is a symbol that the two stories are linked. Quite likely, the entire story is something Bruce is witnessing while the real event (in a continuity that is not the main DCU continuity) of his blood loss is taking place.
c) In Selina's tale, she is trying to talk Bruce into giving up his crime-fighting career to be with her. The events he's witnessing in the "wake" all support that idea: His career is depicted to be bogus, dangerous, leading to his death, making everyone around him betray him. The mystery woman in the narration is urging Bruce to watch and listen to the vision. She wants to persuade him of something: That he should abandon his crime-fighting career.
So I think when we read the finale next week, we'll get one or more tales (WHTTCC is in the structure of the Canterbury Tales) and then find out that Bruce is dying but still alive (when he asks if he's dead, the mystery woman says "Not yet") and that Selina is making a grand play to convince him to retire and be her lover. And then we'll see what he decides.
Ultimately, Gaiman is trying to create a grand myth for Batman, and I hope he succeeds. By referencing the death of Robin Hood, he's taking precisely the step that Alan Moore advocated in the proposal for Twilight of the Superheroes: "An essential quality of a legend is that the events in it are clearly defined in time; Robin Hood is driven to become an outlaw by the injustices of King John and his minions. That is his origin. [...] He lives to see the return of Good King Richard and is finally killed by a woman [...]. That is his resolution--you can apply the same paradigm to King Arthur, Davy Crockett or Sherlock Holmes with equal success. You cannot apply it to most comic book characters because, in order to meet the commercial demands of a continuing series, they can never have a resolution."
This is Gaiman's bid to give Batman a legend with resolution. It's off to a good start.