Some of the tutorials and examples I have seen for developing jQuery plugins tend to return
this.each(function () {
//Plugin code here
});
In short it allows you to take advantage of chaining, since it returns everything that has been done till now so the next .anyMethod() can act upon the changed/modified elements.
Additionally, take a look at these links they will give you a lot of information on jQuery plugin development.
http://www.webresourcesdepot.com/jquery-plugin-development-10-tutorials-to-get-started/
http://www.learningjquery.com/2007/10/a-plugin-development-pattern
http://snook.ca/archives/javascript/jquery_plugin
And here you have a nice web based app that helps you jump start your jQuery plugins. http://starter.pixelgraphics.us/