I'll generally run the game full screen, but it's definitely nice to have the ability to run the game windowed when I want to be able to quickly flip between it and another program (like a quest guide). I'd say have full screen be default, but give the ability to switch to windowed in the options menu, in the updater or in the game itself (I'm assuming this game to be like many MMO's with an updater/autopatcher which allows the game to be launched when it's up to date).
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