By means of introduction, I am reminded of the Mishna in Pirkei Avos 4:20
רַבִּי אוֹמֵר, אַל תִּסְתַּכֵּל בַּקַּנְקַן, אֶלָּא בְמַה שֶּׁיֶּשׁ בּוֹ
Rebbi says: Do not look at the jug but rather at what is in it
Thus, I think it is important to draw attention to the fact that we shouldn't concentrate on the fact that he went to retrieve a small, meaningless jug, but should first ascertain what was in it that warranted him risking his life.
Indeed, a number of commentaries allude to the fact that this was no ordinary jug and Yaakov realised that it need to be retrieved at all costs for use at a later time.
The Yalkut Reuveini (see top left of page) notes where Yaakov actually got hold of this jar. He answers that when Yaakov awoke to see the stones (that had previously been fighting for the right to have the tzaddik's head rest on them) had all fused together into one rock. He found that in this rock there was a jar of oil which he then used to pour over and anoint the matzeiva (the monument) that he built. When he saw that the jar refilled itself he realised that he could not leave it there as it would no doubt serve a holy purpose - It writes there in the Yalkut Reuveini:
חזר וכד נתמלאה. אז ידע יעקב שהוא מזומן לגבוה . אמר אין זה ראוי להניחו כאן
And the jug returned and refilled itself - then Yaakov knew that it was prepared for a higher purpose. He said this is not fitting to leave here.
Additionally, the Sifsei Cohen notes here also how it refilled itself and how it would be repeatedly used throughout history including the anointing of Aharon and his sons, for Kings, for Eliyahu HaNavi and the wife of Ovadia HaNavi.
Needless to say, this was no ordinary jug.
Various commentators (e.g. the Megale Amukos) point to the fact that this jar of oil would later be the jar of oil used in the Chanukah miracle.
This theme is developed beautifully by Rabbi Sam Shor here who quotes the Imrei Noam by Rav Meir Horowitz of Dzhikov who writes that this jar of oil originated from the olive leaf that dove brought back to Noach (see Bereishis 8:11) which he pressed and turned into oil. This jar was passed on to his son Shem, who then sealed the jar and passed it on to Avraham. The jar made its way on to Yitzchak and then Yaakov. One of the jars that Yaakov went to retrieve was precisely this jar(!) i.e. this was not just a small jar - it was one that would be used as part of the service of the Beis Hamikdash and was therefore worth going back for. Rav Shor concludes:
Yaakov Avinu, even as he is about encounter his brother Eisav, with great trepidation, realises through ruach hakodesh, that he has arrived at the sacred space where the future Beit Hamikdash will stand, and he suddenly realises that he must place that small jar of oil that has been handed down to him, and hid it safely away, so that one day, the Chashmonaim, will find this oil, and miraculously restore the light of Torah, through the nes pach shemen.