AOL webmail no longer offers the Return Receipt option. Newer versions of the AOL client don't, either, but older ones still do. In AOL, the Return Receipt option is a checkbox at the bottom of the Write Mail window. Some third-party clients (like Thunderbird) also have the option - check the help menu for details.
Be aware that some e-mail programs give the recipient the option of not responding to Return Receipts so not getting one does not mean your message was not received.