Can you command-tab to go to another app, or to the Finder?
The game has to allow you to do that. Some games will not - I don't know about Warcraft... There may be a keyboard shortcut, or just a game-pause that will let you out of the full screen.
Some games support playing in a windowed mode, instead of full-screen. Again, I don't know about Warcraft.
Maybe someone who plays Warcraft will chime in here.