Often, but not always.

Until recently, ex-CVG was almost always more expensive for one-ways - maybe until a year or so again. Even to Canada, it seems most are the same one-way (actually, sometimes slightly cheaper to book one ways). Then I looked up a fare to LAS (just yesterday) and noted that it was indeed more expensive to book one-way vs. round trip. So I never assume - always check both to see.

As for any other downsides to booking one ways (aside from potential to incur two change fees), certain types of the insurance on my Chase card only cover you for a round trip. Others are valid on either.