Yes they are different.

return false is basically the same as calling both, event.stopPropagation() and event.preventDefault().

Whereas event.stopImmediatePropagation() is the same as event.stopPropagation() plus preventing other registered event handlers on the same element to be executed. So it does not prevent the default action for an event, such as following a clicked link.

In short:

                            stop   |    prevent     | prevent "same element"
                          bubbling | default action | event handlers

return false                 Yes           Yes             No
preventDefault               No            Yes             No
stopPropagation              Yes           No              No
stopImmediatePropagation     Yes           No              Yes

return false also works in "normal" JavaScript event handlers

event.stopPropagation() and event.preventDefault() also work in "normal" JavaScript event handlers (in a W3C compatible browser), whereas event.stopImmediatePropagation() is an extension from jQuery (update: apparently it is part of the DOM Level 3 Events specification).

Note: return false does not prevent the event from bubbling up in "normal" (non-jQuery) event handlers (see this answer)(but still prevents the default action).

Maybe worth reading:

• jQuery Events: Stop (Mis)Using Return False
• quirksmode.org - Event order

Returning false will stop event bubbling, but other bound events will fire. However stopImmediatePropagation prevents other bound events from firing and stops bubbling.

Code Example of this on jsfiddle.

Here is the complete demo for return false, preventDefault, stopPropagation and stopImmediatePropagation:

var kid = document.getElementsByTagName('button')[0];
var dad = document.getElementsByTagName('div')[0];

kid.addEventListener('click', function(e) {
    console.log('kid here');
    e.stopImmediatePropagation();
});

kid.addEventListener('click', function(e) {
    console.log('neighbour kid here');
});

dad.addEventListener('click', function(e) {
   console.log('dad here');
});

dad.addEventListener('click', function(e) {
   console.log('neighbour dad here');
});

<div>
    <button>press</button>
</div>

(Also available on JSFiddle.)

The table in manwal’s answer is not fully correct.

                            stop   |    prevent     |       prevent
                          bubbling | default action |    event handlers
                                   |                |  Same Element  |  Parent Element

return false                 Yes           Yes               No           No
preventDefault               No            Yes               No           No
stopPropagation              Yes           No                No           Yes
stopImmediatePropagation     Yes           No                Yes          **Yes**