I tested GTA San Andreas in Window mode and it took a performance hit when using the monitor's native resolution. Bringing it down to 1680x1050 greatly improved performance, but it's lower resolution.
I played Fallout 3 and Fallout: NV in window mode @ full resolution. I ALT + Tab out of the game from time to time to do various things like checking on the process of some video encoding in the background. However, ALT + Tab seems to crash these games. Hence, I play them in windowed mode.
Window mode can generally cause lag due because the video card is rendering the game and the desktop.