What materials can be used to create cold air returns?
Panning seems to be allowed for return ducts only. I'm not sure if it is code compliant for all states, but it is allowed in the northeastern US. My house has one area that is "panned" in such a maner on the return duct. It is not lined inside, just normal 2x construction. The outside is panned with sheet metal.

This is an alternative to the sheet metal.