I can exit fullscreen via Esc and Alt+f4, but I have to press them blindly since pcsx2 hangs up in fullscreen - it doesnt exit from gsdx, its just stuck there with the frozen fullscreen. Zerogs also does that often though. Alt+tab always crashes when using gsdx, while in Zerogs, switching from fullscreen to windowed mode has a 50-50 chance of hanging up the same way.
By the way, if we are talking about small fixes... Well, I don't know how small it is, but Disgaea has that alpha/sorting bug, as well as seemingly minor misalignment in textures. (and small sprite hiccups as well, during battles)
See the attached screenshots. One is the portal showing the alpha/sorting, as well as minor artifacts around the letters. On the other picture, I'm running software mode, which doesn't exhibit these errors... but of course, its unplayably slow without the videocard acceleration. Also the cosmetical issue of gsdx displaying 60fps as 200% speed, although that doesnt effect anything since pcsx2 itself limits to 60fps.
Disgaea 2 also exhibits the same problems, except for the fps display (but it also looks very good with the gsdx deinterlace modes!).