Millionaire Playboy from comingsoon.net was there and managed to snap a few photos from the set, including Christopher Nolan himself looking over the location.
Details of the scene are few, but the site notes that a small amount of fake snow was spotted on the ground (and can be seen in the images below). This news certainly fits with yesterday's report that said we'd be seeing Gotham City in the wintertime.
Set for release on July 20, 2012, The Dark Knight Rises will complete Nolan's Batman trilogy and will feature the return of Christian Bale, Michael Caine, Gary Oldman, Morgan Freeman, along with new roles for Tom Hardy, Anne Hathaway, Joseph Gordon-Levitt, Marion Cotillard, Juno Temple and many more.