Try this example:
If you run this program as is, the application will terminate immediately. However, if you comment out line 2 and uncomment line 1, you'll see that the application gets caught in an infinite loop.
If you take a look at the API Spec for
System, you can see the description of the exit method states:
Terminates the currently running Java Virtual Machine...
This means that your application will terminate, no matter what is happening. A return, however, signifies, the successful completion of a method.
I hope that helps,
Corey