You can certainly send back the envelope with an angry note in it, or even something heavier to increase the weight a little.
But if you attach it to a box, the postal service will probably just discard it. The "mail a brick" idea dates back to the 60s (Abbie Hoffman, in fact), but the USPS now has a regulation that allows them to treat "improperly used return-address envelopes" as waste, rather than delivering them.
See, e.g., here
The site to which Beaver links claims to have seen first-hand evidence of at least one case where the post office did in fact deliver a brick mailed this way. My guess is that very few such attempts actually succeed.
If you use their postage-paid envelope to send them an angry note, it will get delivered but probably won't have much effect. In most cases junk mail return envelopes are addressed to a processing center, where low-paid workers will open the envelopes, deal with any checks/order forms/whatever, and then throw out anything that isn't relevant. Nobody at the bank, credit card company, etc. will ever hear about your little stunt.
If you mail them anything that could be interpreted as dangerous, threatening, or fraudulent, it may be ignored but there's always the risk that some zealous law enforcement office may decide to try to track you down. There's been a real problem with people mailing fake anthrax letters to abortion clinics, politicians, the media, etc. (see, for example, here
), and while the idea of playing a prank on a junk mailer might seem harmless, the postal service isn't necessarily going to differentiate between threatening stuff mailed as a joke
and threatening stuff mailed as part of a right-wing domestic terrorism/harassment campaign