A return style fuel system uses a fuel pressure regulator right up by the fuel rail. The regulator is connected to a vacuum source and based on the amount of vacuum from the engine regulates the preasure and amount of fuel that goes into the rail. The fuel pump is always working at the same level of output. Any excess fuel is rerouted back to the tank, hence RETURN style.
Returnless style does not use a preasure regulater but rather a fuel preasure sensor up near the rail. Based on fuel needs of the engine the PCM regulates voltage to the fuel pump to bring more or less preasure and fuel to the line.
This is a very simplified explanation but the long and short of it is return style sends fuel from the tank to the rail and back to the tank. Returnless uses all fuel sent up to the engine, nothing returns back to the tank.