That's great! I've heard that a lot of Siamese cats will do that, but I've never had one that did. On about the 4th time he brought it back his attitude suggested something like, "Geez, I keep bringing it back to you and you're going to throw it again?" Too cute.
Dusty loves to play fetch, anywhere and everywhere! She loves those "Cat Crazies" ring toys and a little catnip puff. Rusty has a grey mouse she plays fetch with but only with DH. If I throw it, she will fetch it but bring it to DH. DH will throw the ring toy for Dusty but she brings it to me normally.
They have been known to leave their toys in the bed too. They bring it during the night wanting us to play!
My Maggie has a favorite type of toy that she loves to fetch, also. I made a little video of it, too, but I'm too lazy to find the link right now!
The only problem is that Max figured out how to eat pieces off those toys, so now I have to put them away when we're not around to supervise! But I love playing fetch with Maggie when I get the chance...she is all purrs and rubs when she brings her toy to me, and that makes me smile!
My Linus loves to play fetch with crinkle balls. Thing is he brings them to me in the morning before I wake up. He will drop it beside me and wait for me to throw it for him. If I don't throw it for him he thinks that I don't want that one and will get another one. Some mornings I wake up with 9-10 crinkle balls in bed with me. When this happens I pick them all up and throw them at once. It is hilarious to watch.
My parent's one-eyed cat fetches (not in the bathtub, though). She will only fetch cigarette packs. Don't know how my parents discovered this, since they are both nonsmokers.
He would do it with hair ties and pipe cleaners, but his favorite thing to do it with was the little strip you take off of the milk container to open it. He would play the longest with that thing.