
Personally, with steam at least, I set my monitor I want to play on as my main monitor. Then I set all my games to -window -noborder and at the screens max resolution. Then I drag my windows bar to the secondary monitor after unlocking it and put any windows I want while not gaming there. Vista/7 make this much easier because of the program index option that lets you search through all your programs without needing the desktop.
If it's not a steam game then running it windowed suffices so I can move over to the other monitor if I want to.
