Returnables have the advantage of being cheaply obtainable if you know who to talk to. My local beer distributor will sell them to me for $1.50 a case - but they are inevitably GROSS, with mold usually growing in them, and the bottles are normally so beat up they appear to be frosted. Plus the labels can be tough to remove (but nothing like the labels on Pete's Wicked Ale - http://www.homebrewtalk.com/showthread.php?t=21872)
On the plus side, they are as tough as nails.
I usually buy good micros and harvest the bottles from them. Considering that my LHBS will sell a case of 24 empty bottles for ten bucks, I like to think I am buying a case of quality micro for fifteen or twenty plus the cost of the bottles, which I would have spent anyway.