Some people swear by windowed mode. Others swear at it. I'm in the latter category - mostly it works, but if I'm indoors and try to turn around, it's very slow as if my character was standing in a tar pit. So I always use full screen mode. I only have 1 monitor, a relatively low power graphics card by today's standards, and Windows 7.
In other words, if windowed mode doesn't work and full screen mode does, use full screen mode.
In other words, if windowed mode doesn't work and full screen mode does, use full screen mode.