Take a look at this blog entry. There are multiple ways of settling the balance of a channel on-chain. Here's an example of a dual-funded channel opening transaction.
The funding transaction output is locked with a simple 2 of 2 multisignature script. Before that transaction is broadcast by the funder, both parties sign the first commitment transaction which spends that output. Commitment transactions contain more sophisticated scripts, especially when there are unsettled HTLCs.
OP_RETURN would make the coins unspendable. There is no reason why Lightning would use it.