Return in try & catch versus return in finally?

Is either one of these risky? Is one better? Or is it one of those things you print out and throw a dart at to decide?

I want to do this now that I understand how finally works:

try { 
    stuff that changes something... 
}
catch (System.Exception ex) { 
    something.worked = false; 
    something.err = ex.Message; 
}
finally { 
    stuff.close();
    return something; 
}

But I've seen:

try { 
    stuff that changes something...
    return something; 
}
catch (System.Exception ex) { 
    something.worked = false; 
    something.err = ex.Message; 
    return something; 
}
finally { 
    stuff.close(); 
}