Around here, and I can't speak for the entire country, but it is very common here to use the entire ceiling of a laundry room as a return air plenum, allowing the return air to flow through a joist bay that has been sealed off with caulk and aluminum tape. I have seen return air ducts use wall stud bays, and any other convenient cavity available. Typically, it's no big deal, as long as the air eventually gets back to the furnace.
What is important is that the return air duct not draw unintentional air from the outside, and especially not exhaust air from the furnace itself.
Lastly, forced air gas furnaces need a little anatomy lesson. There is a combustion chamber, which usually you can see as a few rows of really bright blue flame, and this exhausts to the "chimney" which is usually a 6" pipe to the roof.
The other side of the combustion chamber, usually above the gas flame, is a metal plate called a heat exchanger. This plate transfers heat from the flame to the inside air that is blown across the plate from the "return air" system. Quite frequently over time, the heat exchanger will eventually crack, allowing combustion air to enter the hot air system. This is bad because the combustion air contains really nasty stuff like carbon monoxide, which can kill you. This is normally called a BAD thing.
Do yourself a favor and have your furnace serviced every year (your birthday is a good time, but especially try to do this in the spring when the furnace guys are looking for customers rather than in the fall when you have to wait 3 weeks just to schedule an appointment.)
The other thing to do is purchase a Carbon Monoxide detector, and place it where it can get a good whif of the heat duct that is closest to the furnace, yet is still in a room where you visit on a regular basis.
Good luck, don't hesitate to write again for more questions.