Well, and Killing Joke goes in the other direction, of course -- One Bad Day may have done it for Batman and the Joker, but Jim doesn't crack.
There is, of course, more to Rorschach than One Bad Day; I probably trivialized the influence of his childhood more than I should have. (I don't believe, as some have suggested, that Rorschach was sexually abused as a child -- I'll grant it fits the story but I think it's essential, when he finds the child-killer, to believe that he's never actually encountered anything like this type of depravity up close before. BUT, his mother was a prostitute and used to hit him and verbally abuse him, if nothing else, and yeah that's not in there to suggest it DIDN'T have an impact on him.) But I think even the most well-adjusted person, on encountering a man who's raped a little girl and then cut her up and fed her to his dogs, would never be the same again.
Indeed, just HEARING about it pretty much destroys his psychologist's marriage.
If we're to be particularly pretentious about it, Moore is taking the superhero origin story back to the original superman -- Nietzsche's. Dr. Manhattan is destroyed and reborn stronger than before, while Rorschach gazes into the abyss and the abyss gazes back.
(EDIT TO ADD: Ozymandias destroys and rebuilds himself too, though less literally than Dr. Manhattan -- he refuses his inheritance and starts his life over from nothing. It's significant that, while the other characters' transformations are accidental, his is deliberate.)