Character Analysis
Mr. Lau is what we politely refer to as a "plot device." He's venal and corrupt, and even as a gangster he's kind of bland: keeping the underworld's money for them without doing any of the more exciting gangster stuff like running underground casinos and arranging for the violent deaths of various rivals. For most of the movie, he exists only as a kind of macguffin: there just to give everyone something important to chase after instead of being an actual personality on his own.
That changes after the Joker finally gets hold of him and sets fire to him sitting atop a literal mountain of money. He turns from an incredibly dull gangland figure into a larger symbol of Gotham's underworld. When Batman starts his crusade against crime, the criminals in Gotham look a lot like him: a little tougher and meaner maybe, but pretty garden variety as criminals. Batman gets to work and starts putting these guys away, but in their place, a freak show is being created, and they rise up to fill the vacuum.
Hence the Joker takes this guy and burns him up to let the world know that business as usual is over. "This city deserves a better class of criminal," he snarls as the money lights up behind him, and with it, the dull Mr. Lau exits the play: a walking, talking symbol of Gotham's fading business-as-usual bad guys.