For a standard method, I know one can specify return type in the comments such as:
/**
* Load this entity from the database with the specified primary key.
* @param int $Key
* @return BaseEntity
*/
public static function Load($Key)
{ ... }
I would like to have the return type change depending on the subclass. Something like:
* @return __CLASS__
In other languages, this could be accomplished using templates etc. Do I have any options for PHP?
No. Not unless you code something to generate this code.
Those are comments, they will not change the way that the code runs. They may be used by your IDE for code hints, or by PHPDoc to generate documentation. Those applications may have ways of doing something like what you want, check their documentation. The comments will not, however, affect the way your code runs.