From the Apple website (US):
Ship your item back to Apple
To ship your return item(s) to Apple, sign in to online Order Status with your Apple ID and password.
After you sign in, you will see the items on your most recent order. Locate the item you want to return and click the Return Items link. On the next page, select the item(s) you would like to return and click the Continue button.
Next, verify the return item(s) and the return address on your address label. Once you have verified your return details, click the Print Now button to print your address label and packing slip. Affix the address label to the outside of your return box. If you have multiple items to return, you may pack them in a single box with the packing slip. We recommend using the original packaging if you are returning a computer.
Bring your item to an Apple Store
You can always return the item(s) to any U.S. Apple Retail Store. An Apple Specialist will assist you with your return. Your refund will be processed at that time. To locate an Apple Store in your area, please refer to the Apple Retail Store Locator.
Note: An iPhone purchased on the Apple Online Store is ineligible for return to an Apple Retail Store.