RETURN is an example of a control character--an invisible character that controls some aspect of input and output on the terminal. If you press the keys Ctrl-m (that is, press Ctrl and m simultaneously) the effect is the same as pressing the RETURN key.
Another important control character is Ctrl-d, which tells a program or a command that there is no more input. For example, typing Ctrl-d on the terminal will signify to the shell that there is no more input from the user and it will log you out. Ctrl-d can also be thought of as an ``end of file''.
By typing Ctrl-c, from the terminal, you can kill most running programs or commands. (The c stands for cancel.)
Typing Ctrl-z suspends a running program. (The z stands for zzzzzz's or sleep) Type fg (for foreground) to restart.
Ctrl-s stops your screen from scrolling and Ctrl-q resumes scrolling. On most keyboards there is a Scroll Lock key for the same purpose.