Is there any difference between calling event.stopImmediatePropagation() and return false inside an event handler ?
Yes they are different.
return false is basically the same as calling both, event.stopPropagation() and event.preventDefault().
Whereas event.stopImmediatePropagation() is the same as event.stopPropagation() plus preventing other registered event handlers on the same element to be executed. So it does not prevent the default action for an event, such as following a clicked link.
In short:
stop | prevent | prevent "same element"
bubbling | default action | event handlers
return false Yes Yes No
preventDefault No Yes No
stopPropagation Yes No No
stopImmediatePropagation Yes No Yes
return false also works in "normal" JavaScript event handlers
event.stopPropagation() and event.preventDefault() also work in "normal" JavaScript event handlers (in a W3C compatible browser), whereas event.stopImmediatePropagation() is an extension from jQuery (update: apparently it is part of the DOM Level 3 Events specification).
Note: return false does not prevent the event from bubbling up in "normal" (non-jQuery) event handlers (see this answer)(but still prevents the default action).
Maybe worth reading: