Unless you have a vastly overpowered computer, I'd play windowed at whatever resolution your monitor is. I don't notice much of a framerate drop on my laptop between full-screen and windowed. (dual-core 2Ghz, 1Gb ram, ATI X1300 video card).
I don't know if you use two monitors or not, but if you do, you might try disabling one, as I've had issues with that. I've also had alt-tabbing abilities nerfed by different drivers.
As to your original question about console... I'd try alt-tabbing out of other Source games and see if its an issue with them.