How do I get a "Return to Sender" piece of mail back to the mailman if I don't have a mailbox?

That or your post office.

Mark it return to sender, and put it in any mailbox, anywhere.

Uh-oh, it’s from SWEDEN!

I feel terrible though – it looks really intriguing and I really want to open it. So what if it’s like a Federal crime or some shit like that?

Put it in a mailbox, if you open it, it becomes a Felony. Worse yet, their might be a germ or disease inside.

mailbox. or post office.

Never open someone else’s mail. Not only is it a crime, but you never what could be inside.

You don’t need to do anything special. You can just take it to your local post office.

As everyone else said. Blue collection boxes work fine too. However if you are around when the mail carrier comes you can hand it to them and/or explain too.