Return[expr] returns the value expr from a function.
Return[ ] returns the value Null.
Return[expr] exits control structures within the definition of a function, and gives the value expr for the whole function.
Return takes effect as soon as it is evaluated, even if it appears inside other functions.
Return can be used inside functions like Scan.
See The Mathematica Book: Section 2.5.9.
See also: Break, Throw, Abort.