|World of Warcraft and StarCraft II fullscreen side by side, as God intended.|
Games like StarCraft II and World of Warcraft provide the option to run their game in "Windowed Fullscreen" (aka Maximized Window). Also modern Valve Source games such as Left 4 Dead, Alien Swarm and Half-Life 2 natively support this mode, calling it "Windowed (No Border)". This is basically a normal windowed game where the window has been stretched to fit the screen in such a way that it looks maximized (by hiding borders of the window and the title bar).
This has several advantages to running a game in traditional fullscreen mode:
1) Ability to alt-tab quickly at any moment, even during loading screens.
2) Does not disturb multi-monitor set ups during loading.
3) Generally more stable experience.