When I moved over here, the airline (United) wasn't going to let me travel because I held a one-way ticket. I had to show them my fiance visa, and even at that point, the rep at the airport had to call several people to make sure it was okay for me to travel. They would be responsible for returning me to the US if I had been bounced at the border, I believe, so they're very cautious.
Not sure if this has happened to anyone else, but buying a one-way ticket, in my opinion, is a very bad idea if you don't hold a visa to stay here. I could be wrong, but you have to at least have an open return ticket when you stay here an extended amount of time, don't you?
I also agree with everyone about return tickets usually being much cheaper. I was going to do a multi-city ticket last year, because I was flying into one US airport, but returning from another, so looked at all my options. I wanted to be on the same outgoing BA flight as my husband, but we were returning separately, so looked at one-way BA flights, and they were twice the price.