Usually the fares allow open jaw which means arrival in one city but going back from another one within the same country or region. For example, you can travel from New York to Rome by plane, then from Rome to Milan by train or car and then back from Milan to New York by plane. Be careful with promotional fares as they usually do not allow such combination.
If you need a one-way ticket in most cases it will be cheaper to buy a return ticket. But if you are not going to use the outbound flights your reservation with inbound flights will be canceled by an airline due to flight coupon sequence violation. That is general rule in passenger carriage regulations. Be wiser and buy your airline ticket the other way, so that you definitely use the outbound flights and miss the inbound ones if you wish.
Sometimes it is cheaper to buy separate tickets instead of one complex ticket. Compose your itinerary so that you have plenty of time between connecting flights especially if different airlines are involved. Otherwise it might be risky and you can loose the connections, baggage and probably tickets too. Airlines in general do not take responsibility for separate tickets.