It just exits the method at that point. Once return is executed, the rest of the code won't be executed.
eg.
public void test(int n) {
if (n == 1) {
return;
}
else if (n == 2) {
doStuff();
return;
}
doOtherStuff();
}
Note that the compiler is smart enough to tell you some code cannot be reached:
if (n == 3) {
return;
youWillGetAnError(); //compiler error here
}