Actually, Bioshock is not very objectivist at all outside the whole "worship human achievement, not god or government" theme. I'm actually considering doing a really detailed plot analysis because I personally hold Bioshock as one of my favourite narratives in any form of media (but this isn't the discussion at hand).
Rapture was built out of rational self interest, that is, do what benefits you at your own leisure without intruding on the space of your fellow citizen. Rapture is a city housing a citizenry where every man and woman operate in their own personal bubble. Look out for #1, so to speak. Facilities like the orphanage, the poorhouse, the metro, the police, etc, directly undermine this philosophy. Then you have to wonder how Fontaine ever managed to be accepted into Rapture society since his mobster persona was known on the surface.
Then there's the puzzling notion that Ryan authorizes Fontaine's business interests such as the orphanage, the poorhouse, the power to the people stations, etc. Although really, this could either be explained by Ryan respecting Fontaine's bubble, or operating with the city in mind.
Two final thoughts:
a) When did plasmids become weaponized?
b) Why do they allow high explosives and rifles and turrets everywhere? You'd think a utopian society of the best and brightest would move beyond firearms for protection.
Then I realize that building an underwater city is simply impossible for two reasons:
a) You can't mobilize the forces necessary to build your own city without somebody catching on.
b) Water pressure at the bottom of the ocean is so immense that no building material is stable.
So the whole thing becomes irrelevant.
Still, I fucking love Bioshock. I'm going for all the trophies right now.
Edit: These are just simple points scribbled in a submission window and therefore not very well thought out. Just keep that in mind if you're responding to this.