Personally, I'd still take a CYA stance in this situation. If you return the documents or tell anyone you have them you are admitting to a crime by proving that you took the documents and had them in your possession. This is really the worst case situation because you could be sued civilly and potentially have criminal charges brought against you. At this point you can only hope the company doesn't take action against you. Also, I believe that you are not blackmailing them for these documents but who's to say they believe that? What if they think you destroyed the original copies and then kept some for yourself. Then you make money by them coming back to you and getting paid as a consultant who just so happens to have copies of the missing documents. Your intentions don't matter; the law and what lawyers can prove matter. You are taking an insane amount of risk by keeping these documents and also by bringing them back. Why expose yourself to so much risk? Would the company do the same for you?
To the other posters that said these things happen and documents are accidentally left here or there: Intellectual property is an extremely valuable asset to any company. You are potentially holding on to something that is worth a lot of money to the company. If you were an accountant or say someone physically handling money, would you accidentally leave $100, $1,000 or more dollars at your house or the companies' money while you were counting those bills or handling checks? No way. You would make sure every cent was accounted for and returned to the company. Do you think intellectual property is any different? In many cases it is even worse because a single pdf or notebook could be worth millions. Before you take that notebook home in the future, check your company policy, are you even allowed to remove items like this from the company? Get written approval from your boss that you can remove these items and work on them from home. But make sure that If you are planning to sever ties with the company, search your computers and your files for company information and return them (assuming you had permission to take them in the first place. If you didn't, then you are back to the original problem).
Once again, IANAL and this is not legal advice.