In Montana it's not even a moral/ethical question; it's a legal one. It is against the law not to return a keg. They take your name, driver's license number, and phone number. They tag your keg with a numbered tag, which is illegal to remove ($500 fine). When you get a keg of beer, you have two weeks to return it...or else you face a serious fine and potentially a suspended license.
Bars and distributors have to account for all kegs all the time, even more of a paper trail.
But, breweries do get rid of them every now and then, and they sell them cheaply (they've already written them off). Like Orfy says, better save your receipts.
