I don't know about necessarily cheaper, but one-ways are often times more convenient. I entered the UK last January on a student visa with only a one-way ticket, because I had no idea when I was coming home. There was no problem, because I had all the documentation of when my course ended, etc. and it was a 6 month visa. Actually, I don't remember anyone making a deal of 'coming home' during either my visa application OR immigration at Heathrow. I might've gotten asked about it once, but I guess a verbal answer was enough to satiisfy them.
I know that I can get Virgin one-ways for $300, which is pretty damn cheap, if you ask me. I honestly haven't bought round-trip in so long, I don't know how much they cost! However, the flexibility is invaluable, because if your dates to return change, it's damn expensive to change a plane ticket!