Being able to switch from Fullscreen to Window mode and vice versa with Alt+Enter would be very welcome. The most annoying part at the moment (beta 1) is that you cannot change it while in a lobby.
Also, it should remember the position and dimension of the window. You can even make it downsize if you resize it over the borders of your screen or reposition if you move it past the top of the screen (e.g. like Guild Wars does it).