I agree that its kind of bogus not being able to return a game, but thats simply because you can extract the data with everyday hardware and then return the game, claiming not to want it. The old cartridge type systems were deffinately the way to go - as soon as everything went to CD/DVD, it becaame much more likely to be copied. If the console developers stuck with a proprietary format, I believe we would have more leway in the returns department.
However, with the onset of "downloadable" games, I believe every game should have an available demo or free trial version that is on par with the retail release, that way, you can test for yourself how you like the game and if there are any glaring flaws or bugs... if you liked it, then you could simply download the entire game from the source.
There will always be piracy... there simply is no way to stop it because there is always somebody with too much time on their hands.