I wouldn't say it's wrong to not 'return' the gift but life would be more special if you do, but it still depends on who the person is. If someone gives you a present with full sincerity, he wouldn't even bother to 'ask' for one in return. Depends on the heart. Give a present to him/her :)
It depends on your financial situation for one. Personally I would feel bad if I did not give one in return. However, many things come into play. How well do you know the person, was it understood you would exchange gifts, and as I stated, your financial situation. To me, I give gifts not expecting anything in return. It is from the heart. SabrinaNadiaa had a great answer.
I'd feel like COMPLETE crap! I would tell the person to keep it, because I can't give anything to them in return. If they insisted for me to take it afterwards, saying they didn't mind me not giving them anything I would politely say thank you so much. And still try to get them something. Even if it's not as amazing as what they got you.