Fullscreen, but I also make sure that it's running in my desktop resolution. If my desktop is running at 1440x900 (native), then I'll make sure the game is also running at that resolution, even if I may have to downgrade the graphics quality.
This makes switching to desktop way faster. I noticed games typically have to reload textures if the resolution changes.
But, the last real game I played on PC was Legend of Grimrock.