You don't need OP_RETURN to store data, particularly hashes. The idea being it was to encourage people to store data in the least harmful way possible in outputs that can be obviously pruned; like it or not putting data in the blockchain is useful so people will do it, and there's no good way to stop people from doing so. Of course, once data is prunable, it's no different than any other transaction in terms of impact on the system - you're still paying fees on the exact same basis as doing any other transaction.

If you're planning on doing more than just playing around, what Mastercoin does to embed data is reasonably cheap and censorship resistant, and will become more so in the future: https://github.com/mastercoin-MSC/spec#appendix-a--storing-mastercoin-data-in-the-blockchain

I'll add to that spec sooner or later with the P2SH scriptSig method of encoding; censoring that would require fairly invasive changes to the scripting language or blacklists. (fwiw I'm Mastercoin's Chief Scientist)