.COM files are loaded into a new segment with offset 0x100. You can write .COM files if you have any 16bit x86 assembler that can output binary files, just remember to offset 0x100 at the beginning.

A ret instruction will return to the operating system, as will the widely used mov ax, 4c00h; int 21h. IIRC, you have all memory auto-allocated to your program from the segment you're loaded in, to the top of 640kb.

.COM files can still be fun and/or useful to write since they have a smaller (0 byte) header, compared to .exe files.

If you search the internet, you should be able to find several size coding competitions where the winner is the person to write the smallest program to do some specific task, such as displaying the flag of Japan, a Brainfuck interpreter, etc.