AinOhdMilvado,
I once read that you should NOT return the key cards because they are programmed when they give them to you, with NOT ONLY the data for the lock for your room, but also with PERSONAL information, like your credit card info (that you are using to pay for the room).
This, I believe, is an urban legend (Snopes labels the claim false). The hotel retains your personal information in their database, so it would be redundant to store it on the magnetic key card.