Using return false will prevent the calling of further listeners, and also it default event (such as leaving the page on clicking a link). If that is what to what, then return false, otherwise don't.
With e.preventDefault() further listeners will still be called, but the default reaction won't be trigger ("don't leave the page, when a link was clicked").
If you do neither, a later called listener can stil use e.preventDefault() and/or return false.
Using jQuery, there is no need to do both (e.preventDefault(); return false;). JQuery will call preventDefault for you, if you return false.
As for default event of links, I found href="javascript:void(0)" to work the best; even if JavaScript is deactivated.