tfishell: I'm curious: why is running games in a window important to you? Do you like to multitask? (I assume the controller just has to do with ease of use.)
I don't know about him, but when I am on a multi- (two) screen setup, running a game in a window simplifies things a lot.
If my laptop is connected to an external monitor (extended desktop), I can run a full-screen game only on the screen which is marked as the primary display. So if I e.g. want to run a game on the laptop screen and something else on the monitor screen (e.g. a walkthrough file for the game?), I first have to swap the laptop screen as the primary screen before running the game.
Also, in my setup the secondary screen works a bit erratically in that case, for some reason all the windows in the secondary desktop are moved halfway off the screen, if I have a fullscreen game on the other screen. And if it is some old 256-color game, the secondary (desktop) screen gets odd colors.
None of these problems exist if I run a game in a window. I can freely move it around between the two screens, etc. Hence, by default I run e.g. DOSBox in a window, configured to use a resolution that in occupies most of the screen though (I don't want to play games in a small window). So it feels like playing in full screen, only that I may see parts of the desktop e.g. on the sides (a 4:3 DOSBox window on a 16:9 screen). If at any point I want to run DOSBox full-screen instead, Alt-Enter works.
In a single-screen setup, I have less reason to run game in a window. Mainly just if I need to constantly swap between the game screen, and e.g. a walkthrough file. It is a bit less painful to swap between two windows, than alt-tab from a fullscreen game. Other than that, full-screen it is in a single-screen setup.