The RETURN target will cause the current packet to stop traveling through the chain where it hit the rule. If it is the subchain of another chain, the packet will continue to travel through the superior chains as if nothing had happened. If the chain is the main chain, for example the INPUT chain, the packet will have the default policy taken on it. The default policy is normally set to ACCEPT, DROP or similar.
For example, let's say a packet enters the INPUT chain and then hits a rule that it matches and that tells it to --jump EXAMPLE_CHAIN. The packet will then start traversing the EXAMPLE_CHAIN, and all of a sudden it matches a specific rule which has the --jump RETURN target set. It will then jump back to the INPUT chain. Another example would be if the packet hit a --jump RETURN rule in the INPUT chain. It would then be dropped to the default policy as previously described, and no more actions would be taken in this chain.
Works under Linux kernel 2.3, 2.4, 2.5 and 2.6.