If I want people to believe it, and I can’t bring back anything physical, then I imagine I’d need to bring back some information that would convince humans it’s of extraterrestrial origin. Something that I could repeat somehow, “such-and-such-and-such,” and have people test.
So I guess I’d try to find a way, while abducted, to communicate with the aliens and ask them a question about something we don’t know yet on earth…. probably something science/mathematics related, since those are fields that lend themselves to solid answers and rigorous testing. And maybe, since the aliens have apparently figured out timely interstellar travel (they got to earth to abduct me, after all), I could convince them to help me memorize some key piece of information that would allow humans to develop interstellar transit, too. I mean, it’s probably more complicated than what I could remember, but I could try. And I don’t have to understand it, I just have to repeat it to someone else who could.
When I get back, I share this information with someone who has the ability to study it, and explain to them the story—saying they don’t have to believe me until the information works. And then if I somehow manage to do all of that, I wait and see what happens from there.
An out-there answer that has very little chance of success, but I figure it’s an out-there question.:)
Of course, if we’re not picky on the percentage of people believing me, all I’d need to do is sell my story to the right tabloid, and there would be some number of people in the world who believe me (despite there being no reason for them to do so).