After I lost a thumb drive a while ago I decided to put a PLEASE_RETURN_ME.TXT in the root of all my flash drives. The readme contains a request to return the object, and contact instructions.
You can also do this with the flash memory in your digital camera. Another couple of options for a camera are storing a picture containing a 'please return to firstname.lastname@example.org' message, or slipping a bit of paper with your email address into the battery compartment.
Oh, and I suppose you can also write or scratch your email on things if you're old skool :)