C functions returning sets are entirely possible, and there's even some
documentation about how to do it in src/backend/utils/fmgr/README (which
needs to be transposed to present tense and moved into the SGML docs,
but it's better than nothing).
There is at least one simple example in the 7.2 sources: see
pg_stat_get_backend_idset() in src/backend/utils/adt/pgstatfuncs.c,
and observe its usage in the pg_stat views, eg at the bottom of
http://developer.postgresql.org/docs/postgres/monitoring-stats.html
There is not presently any support for this sort of thing in plpgsql
or any of the other PL languages, however.
regards, tom lane