Yes and No. The game has to support the ability to run in windowed mode. If it doesn't support it, then it will not be able to do it.
Now, when it comes to games that don't have the option in an preference menu, they can sometimes still support the feature, they just don't advertise it.
There are a few games that require you to edit a preference file to enable/disable certain things. Usually contained inside the game icon, right clicking on the game icon and hitting "Show Package Contents" will open the game's directory and show you the files that make the game. Be very careful when doing this because editing the wrong thing can break the game. Usually if this option exists then it will be somewhere on the internet and you will be able to find out more about it by doing a search for that game.
One such game that supports this is Cave Story+, editing the preference file can enable certain game modes and unlock features.
Other games will work with a shortcut when running, usually:
- opt/alt + enter
- opt/alt + f
- cmd + f
- cmd + opt + f
- cmd + opt + enter
- cmd + enter
Now, if none of these are viable options, then you won't be able to do it.
Just going into the main Mission control window will solve this, it will give a nice summary like view of all your open (fullscreen) windows. Another way to switch between fullscreen windows is selecting the "Window" menu item or the Safari icon in your dock and choosing the right window from there.
Edit
If you want to use a keyboard shortcut to accomplish this you can use an application that binds a keyboard shortcut to an Apple script, like FastScripts. The next step is placing the script in your /Library/Scripts folder and adding a shortcut to the script in the FastScripts preferences.
I'm not really good with Apple scripts, but this is a sort of working script that I made:
tell application "Safari"
activate
end tell
tell application "System Events"
tell process "Safari"
tell menu bar 1
tell menu bar item "Venster"
tell menu "Venster"
click menu item 14
end tell
end tell
end tell
end tell
end tell
The big problem with this script is this:
The line click menu item 14
will make the first window that you see when you click on the "Window" menu item active, and changing it to click menu item 15
will make the second window active. However, obviously, this isn't included in my code, and I don't have the time to work on it today, so you can either ask someone else how to do this or wait until tomorrow.
Best Answer
System Preferences > General > Uncheck "Close windows when quitting an application".