Most boomerangs that are designed to return to the thrower are made of two wings
brought together with a slight twist at the junction. The wing design (like an
airplane wing) causes the necessary lift to make the boomerang sail through the
air. The return is caused by the slight variation in wind speed between the two
wing pieces. The result is a constant force to either the left or the right which
makes the boomerang turn as it moves through the air.
That's the simple answer, but if you would like more details (including some
interesting demonstrations) you might want to check out the 'How Stuff Works'