Depends on the resolution you play at. If your game resolution is your desktop resolution, then full-screen will likely be slightly faster than windowed mode in all scenarios.
When an application runs in full-screen mode, it has full control over the screen output.
But when you run it in windowed mode, it needs to send its output to the window manager (windows explorer) which then manages where on the screen that output is drawn.
This takes some additional performance. !!!
So, actually It depends on the game and how it's implemented.