I'd suggest running the game at the same resolution as your desktop. This way, you get benefits from both a full screen size and running in a window.
I tested that, and running at the resolution of my display is just like full screen (no window titles or boundaries), except that you can't minimize the game at all to get access to your desktop.
Running the game in full-screen mode at least minimizes it when you hit the "Windows" key.
Anyhow, the main reason I like(d) to run in a window is that I hate edge scrolling! I'm always scrolling when I don't mean to.
Is there any way edge scrolling could be made into an Interface option so players who don't like it can turn it off?
EDIT: Oh wait, setting the edge scroll speed to 0 disables it!
Never mind!