How can a Batman film be a horror movie?
Well...for starters there is a whole subsection of the genre that fits into carnival horror. Take the films of Rob Zombie for example, or Tobe Hooper's The Funhouse. Then you've got the huge German expressionism influence on Tim Burton, one of the main characters is called Max Shreck! This film is not just a dark comic book, it is genuinely disturbing, full of crazed ideas and the Penguin is a villain who brings the viewer close to being sick with that green ooze dripping off his lips then down his chin scene after scene. Oscars don't often go to these type of performances, but this deplorable character deserved awards.
Then there is the fact that after Batman made a shedload of money, the studio said that Burton could make any film he wanted (after he initially turned down the sequel), and he came up with this batshit crazy gonzo-athon. They stuck to their word and little compromise was made, bringing one of the strangest mainstream films to the screen. There is not one sane character in there, except maybe Alfred the butler, and the main character doesn't say a word for the first 35 minutes. Catwoman is fetishised to the point that executives had to excuse themselves out of rushes room. For a film with no nudity or sex scenes it is questionable in its depiction of sexuality and downright odd in its atmosphere, making it possibly Burton's most personal film. He got away with murder and made many people uncomfortable into the bargain.
Batman Returns has aged painfully. A viewer brought up on Marvel and DC in the modern variations of comic book films will have little to grab onto here, but it's also something that would be impossible to make now. Nowadays, the studio heads wouldn't greenlight it and the marketing department would look the other way. It's difficult to understand now, but this was the first film to have CGI incorporated to such a degree (the same year as Terminator 2) but this went a step further by having an army of penguins on display. Although it made a profit, unlike the never-to-be-mentioned-again Batman & Robin, confidence was lost. The reason being this is a horror film, not a comic book adaptation, and audiences didn't want that. It was too dark. The money thrown at this bizarre experiment was a risk that didn't quite pay off, Burton was not asked to do another Batflick.