cogadh: Any of the games that are run through DOSBox or ScummVM can already be run in a window, you just need to configure that. Other than that, if a game doesn't offer an option to enable windowed mode or a config file that can be altered to enable it, you're out of luck.
Darfuria: Ah, well pointed out. That resolves the issue for games at least with DOXBox. However, I'll still suffer with games like Baldur's Gate 2.
Just install the Baldur's Gate 2 widescreen mod, then its a non-issue:
http://www.gibberlings3.net/widescreen/. Not every game is going to have that kind of thing available, but many will and most of them are clearly listed in the individual game forums here.
Scaling depends on how you configure it. If you do fixed aspect ratio scaling, then it will present the game in its original aspect ratio with black bars on either side of it (usually called "pillar boxed"). If you set up original size/no scaling then it will present it in its original resolution, surrounded by black, however, when you are talking about an older game that probably runs at 640X480, then you are going to be squinting at a tiny 640X480 section of pixels in the middle of your 2560X1440 screen.