The ultimate problem is that we can never know when we are in the "real" world. This is something I thought they were going to explore in the 3rd movie when Neo attained super powers outside the matrix. Yet the directors copped out for a "bloockbuster" approach; forgeting that what made the original Matrix much more then just an action movie was the deep questions it posed. Hense they gave some five second exlanation to make room for more fighting and the techo music. I think those hollywood agents got to the Wachowskis
The follow up to the "real" world delima is the question of why the Matrix is actually bad. If you are allowed to live your little life - find love, find your soul, have a family, grow old and wise in a house full of grandkids and die while at the same time providing energy for another inteligent species would that be concidered parasitism, mutualism or commensalism?
There is also the whole concept of choice. Now I am not a big believer in freewill, but without going into that is there a difference between making choices based on events that where determined by nature and those determined by an inteligence?
Just some random thoughts