In the United States with USPS, this appears to depend on letter type.
"STANDARD" is what the junk mail gets mailed as (and it does not get forwarded with a Change-of-Address), whereas "FIRST CLASS" is what important and personal mail gets mailed as.
Indeed, interfering with FIRST CLASS would be a serious crime. What most postmasters appear to advise is simply put it back to the outgoing pile (even without marking it, if you have nothing to mark it with), and they'll sort it out (either delivering it again to you for one more time, to make sure it wasn't just your neighbour the letter has gotten to the prior time, or, returning to sender if the name doesn't match). Ideally, it appears that they're supposed to remember who does and does not live at a given mailbox, often making certain marks on their side of the box with the names of the individuals.
As for STANDARD junk mail, it was revealed to me by the postmaster that they never do anything with returned standard mail other than throwing it directly into the recycling bin (they're only supposed to do something if it's further marked for certain address service or some such). I've had an issue of AmEx suddenly starting to send me credit card applications to someone's obviously assumed name with my address; I was advised by a postal worker that I might as well use the prepaid envelope to send it back asking for the fictional person with my address to be removed from their list (it seems to have worked after a few times).
TL;DR: make sure to return FIRST CLASS to the outgoing pile, they'll take care of it; if it's non-first-class STANDARD junk mail and you're lazy, direct recycling is a possibility.