Insertion loss is how much of the signal is lost as it travels through a channel: trace, connector, cable and any other part in the path. It is reported in dB, and a larger loss means a weaker signal at the receiver.
Return loss describes the part of the signal that is reflected back toward the source because of impedance mismatches, such as at a connector or a via. A higher return loss figure (in dB) means less energy reflected, which is better.
Both matter. Insertion loss is the number you add up in a loss budget for the whole channel. Return loss, along with crosstalk, tells you how clean the signal is when it arrives. Many interface standards give a total channel loss limit at a specific frequency, so the budget has to be compared with that limit at the same frequency the standard uses.
