jQueryPlugin: return this vs return this.each()

Two things:

1. Your examples are flawed in that they do exactly the same thing to each element.
2. The real issue isn't return this versus return this.each, the issue is this versus this.each.

For (1), consider the difference between this plugin:

(function($) {
    $.fn.mangle = function(options) {
        this.append(' - ' + this.data('x'));
        return this;
    };
})(jQuery);

Demo: http://jsfiddle.net/ambiguous/eyHeu/

And this plugin:

(function($) {
    $.fn.mangle = function(options) {
        return this.each(function() {
            $(this).append(' - ' + $(this).data('x'));
        });
    };
})(jQuery);

Demo: http://jsfiddle.net/ambiguous/5dMMH/

So you see, you need to use this.each if you need to treat the individual elements in the this set differently. You would have similar effects if your plugin had to attach element-specific data to each element: if you didn't use each then you'd end up attaching the exact same piece of data to all of the elements inside this and that would just leave you confused about why information is bleeding all over the place.

For (2), it doesn't matter if you return this or return this.each(... since x.each(...) returns x anyway.