Okay this might sound stupid but I have my Mac since Monday now and I don't have any idea how to exit the fullscreen mode when playing a game. For example I was playing EVE Online the other day (in fullscreen mode) and wanted to check something on my Skype, but couldn't because I wasn't able to exit the fullscreen mode and go to the desktop. I'm using the Macbook Pro at the moment. So if anybody could help me out with that, I'd really appreciate it.
That will be game-dependent. I've played some games that won't release the system. Some will work with Cmd+tab. Others will do so with 'esc' as Carolyn mentioned. You may need to check the game documentation to see what you must do.