Is running ethernet cable through an air return allowed under US code?
Looking in 2011 National Electric Code Changes of Interest, they reference NFPA 90A-2009 :


  Section 4.3.4 of NFPA 90A-2009 states that “Wiring shall not be installed in air ducts” unless it is “directly associated with the air distribution system and does not exceed 1.22m (4 ft).”


I don't have access to the full code, but just in the notes on the revisions to NEC 2011, they seem to allow CMP (plenum rated cable) in air ducts or "other spaces used for environmental air" based on the table on page 15, 'Applications of Communications Wires and Cables'.  All others must be in a raceway ... other than CMUC (under carpet) or cables w/ power, which are both banned completely.

I'd personally ask a local inspector -- they're the ones who are going to know what the local interpretation of the codes are.  If you're running something that's not required to be inspected, I'd only run plenum rated cable -- the jacket won't give off toxic fumes if burned, so you'll have a chance at escaping a fire without being poisoned first.