Option 1 is defective. When you declare an object
QList<Weight *> ret;
it only lives in the local scope. It is destroyed when the function exits. However, you can make this work with
return ret; // no "&"
Now, although ret is destroyed, a copy is made first and passed back to the caller.
This is the generally preferred methodology. In fact, the copy-and-destroy operation (which accomplishes nothing, really) is usually elided, or optimized out and you get a fast, elegant program.
Option 2 works, but then you have a pointer to the heap. One way of looking at C++ is that the purpose of the language is to avoid manual memory management such as that. Sometimes you do want to manage objects on the heap, but option 1 still allows that:
QList<Weight *> *myList = new QList<Weight *>( getWeights() );
where getWeights is your example function. (In this case, you may have to define a copy constructor QList::QList( QList const & ), but like the previous example, it will probably not get called.)
Likewise, you probably should avoid having a list of pointers. The list should store the objects directly. Try using std::list… practice with the language features is more important than practice implementing data structures.