Why are there at least two prongs on every electrical plug? If power is traveling in one direction (from the wall to the appliance), why can't there be just one wire carrying it? Circuits need to be closed, but after all, current can flow through a capacitor, and that's an open circuit.
In a nutshell, to transfer power over a wire, you use a loop for current and electromotive force for voltage. You need two connections to the loop to supply the electromotive force that sends current down the wire.
To actually use the power, the load needs to convert some of the delivered energy to some other form, such as light, heat, mechanical movement, magnetic flux, charge, chemical change and so forth. If it doesn't do any of that no power is actually used.
And remember that capacitors, while they block DC, will carry AC currents just fine. And capacitors are all around us.
While it would seem possible to send power with a single wire and high voltage, what actually happens is that a loop is formed using earth ground as a return. A Tesla coil is an extreme example that uses an arc instead of a wire to send power, but nonetheless uses a ground return. Tesla coils make a pulsed arc, which can be carried easily to a DC connection to ground, or via capacitance.
A more practical ground-return example is early telegraph wires that used just a single wire, and relied on ground to complete the loop back between sender and receiver.
A Van de Graaff generator would seem to carry energy (charge) without a return current, except that you have to consider that the charge is building up on a collector (capacitor) that is referenced to ground, even if only indirectly. It's actually building up a difference in charge between the two ends of the machine. So it's inherently a two-terminal device making electromotive force.
That all said, it's also possible to transfer power as waves (particles? both?) over the air as electromagnetic fields, or as acoustic energy (sound). The receiver 'absorbs' this energy and converts it to another form. Practical example of each: microwave oven (RF waves), dynamic microphone (sound), you standing in the sunlight (light waves.)
The very simple analogy is water. You want water to perform work- so it has to flow, not just create pressure. Imagine a water mill wheel- you need water to flow. so you sort of need to create a path for water to come and a return path. Same here with electrons- you need them to flow (current) to do work (power), so you have to bring them and then let them go back. If you don't, they build up quickly and stop flowing.
However, if your supply is not electric- other possibilities exist. Microwaves can simply travel through waveguides, or light can simply travel in the air.