The Full screen mode is able to change the resolution, colour mode and refresh rate of the screen, while windowed runs using the current desktop settings. It can take monitors a few seconds to adjust to new screen modes, which is why they tend to go black for a bit when you start or alt-tab a full screen app. Windowed mode apps don't have that delay.
A full screen mode app will lose it's device when it loses focus. If you have a dual monitor setup and you click the mouse on the monitor other than where a full screen app is running, the app will disappear until it has focus again. This got REALLY annoying for me in WOW years ago, until I discovered the setting for borderless maximised windowed mode (looks like full screen, but has the app/focus switching speed of windowed).
There's more full screen details in the directx sdk help files, going into stuff about swap chains, exclusive mode access, multihead issues, etc.
(Posted by Kojack in this forum topic.)
In full screen mode the application is not windowed.
That's essentially what it is.
No cooperation, no syncing, no nothing.
Which is why it's usually faster.
(Posted by jacmoe in this forum topic.)
For debugging it's better to disable the full screen mode.