Yes and No. You can return a downloaded eBook at any time. Downloaded audiobooks stay with you until their due date, then "expire". You can delete them from your PC or portable player before the due date, but the OverDrive server will ignore that and consider them checked out to you until the due date.
(See the Cheat Sheets page for information on how to return eBooks early. And--as of February, 2012--you can also return audiobooks early.)