As with anything, it depends on the game. Some games like Starcraft or Unreal Tournament will run in a window, allowing you to pause (if you're not in multiplayer) and go to the desktop if you need to look up the specs for your new gun, or find a quick cheat code, for example. Other games, however, don't allow this and force you to quit before you can go back to the desktop, which is a pain if the program takes a long time to load.
Basically, if there's an option to run in a window, you will be able to switch to the desktop, and if not, then you'll have to try it and see. I know Ambrosia games can always switch to the desktop without having to run in a window or quit; you just have to try it.
What game(s) were you thinking about?