"...Watchmen was something to do with power, V for Vendetta was about fascism and anarchy, The Killing Joke was just about Batman and the Joker - and Batman and the Joker are not really symbols of anything that are real, in the real world, they're just two comic book characters."
-Alan Moore, quoted in Gary Spencer Millidge, Alan Moore Storyteller (Lewes, East Sussex, 2011), p. 139.
I rarely disagree with the Awesome Mage but this is one occasion. The Killing Joke is about whether one bad day is enough to drive anyone mad. It happened to the Batman. It happened to the Joker. The Joker tries to make it happen to Jim Gordon - and fails.
Would one very bad day be enough to drive you or me mad? A very important question.
Addendum, 29 Nov 2015: I have addressed this issue before. See here.