It is very sad that the cover story of this month's (January) Aviation
Safety Magazine (http://www.aviationsafetymagazine.com) is exactly
talking about that. Here I quote a small portion of this article:

By Rich Stowell (Aviation Safety Magzine, January 2006)

Turnbacks Reconsidered
If an engine quits on takeoff, where you go is less important than how
you arrive. A straight-ahead landing remains the best low-risk option.

.......
Each year some pilots try the turnback maneuver after an engine failure
and succeed while others don't.
.......
One hundred percent of the attempts to proceed straight ahead (35/35)
resulted in successful outcomes.....By contrast, only 62 percent of all
of the attempted turnbacks were successful (69/112).
......
Compared to landing straight ahead, a Canadian study of stall/spin
accidents over a 10-year period assessed the risk of death or serious
injury as eight times (8X !!!!!) greater when a turnback to the airport
was attempted.
.....

-------------
I strongly recommand Aviation Safety Magazine. I am its loyal reader.
This is the second time in 1.5 year that I read its monthly article
and then the exactly NO NO fatal accident described in the article
happend.