In Order of the Phoenix, Voldemort wants to access the prophecy. It can only be taken from its shelf by Harry or Voldemort.
The reason he uses a "complicated plan" (using the connection between his and Harry's minds to let him come, sending Death Eaters to watch the prophecy then get it from Harry...) instead of coming and getting it himself is that he wants to keep his return secret as long as possible:
"Why couldn’t he come and get it himself?”
“Get it himself?” shrieked Bellatrix on a cackle of mad laughter. “The Dark Lord, walk into the Ministry of Magic, when they are so sweetly ignoring his return? The Dark Lord, reveal himself to the Aurors, when at the moment they are wasting their time on my dear cousin?”
(Order of the Phoenix, Chapter 35, Beyond the Veil)
I understand why he doesn't want to be seen at the Ministry.
But if a group of Death Eaters (some of them on the run from Azkaban, others supposedly innocent and distinguished members of the wizarding society) can come discreetly to the Ministry, stand there a few hours and leave without having been seen/recognized (actually, they were NOT discreet, but that was the plan)...
Surely a single wizard, one of the most powerful of all times, can also do so? (and maybe with a more effective result...)
So if Death Eaters could come to the Ministry of Magic discreetly, why couldn't Voldemort?