For mouse cursor clicky games like TT I prefer a maximized window, so I can just go over to other programs quickly and check things, leave them in the background for a bit, etc., without having to get annoyed by things like having to push keys to get out of the game. Exception being some games that are really weird about windowed mode and don't really like being switched away from, but OTTD is not one of those.
then i have a solution for you
is a small program that allows you to play any programs that wanted full screen into window mode
as for the programs concerning it things it is still running full mode
some old program even run better!!!!
i have a game panzer general2 for example and in full screen the colons were bad but in the window mode using this programs the colours were okey !?!?!?
full screen is nice if you need any tiny pixel to help you with the game
now with the big screens this is not really an issue
remember back in the day win win95 and computers havign 640 or 800 resolution playing window was not possile since the window itself wa taking so much space