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'
'The strength and weakness of physicists is that we believe in what we can measure. And if we can't measure it, then we say it probably doesn't exist. And that closes us off to an enormous amount of phenomena that we may not be able to measure because they only happened once. For example, the Big Bang. ... That's one reason why they scoffed at higher dimensions for so many years. Now we realize that there's no alternative... '