For completeness I will also ad that as long as you use the Cmd T shortcut to enter and exit full screen visualiser mode, then it will exit to normal iTunes song listings directly from the full screen visualiser and back to the full screen visualiser from the song listings mode.
However if you use the esc key to exit the full screen visualiser then it will exit from full screen visualiser to windowed visualiser you will then have to press Cmd T to return to the song listing window. But now because you exited using the escape key the windowed mode is now the default and pressing Cmd T will go back to visualiser window mode.
Therefore do not use the escape key to exit the full screen visualiser mode as you do other programs. If you do it by mistake then you have to use the Ctrl Cmd F to go back to full screen mode.
Once you understand how it works then it works well but until you figure out what is happening it can be a bit confusing.
This is for iTunes 11.02
It is possible that Apple decide to put the full screen or windowed visualiser mode back into the preferences. The advantage of having it set as a preference is that the escape key can be used to exit without it resetting the preference. This is a better way of doing it because using the escape key to exit full screen mode is the default action for every other app so it's natural to do this.
So annoyingly you have to break the habit in iTunes otherwise you have to keep resetting it. I think this is an unforseen error on Apple's part and it is likely to be fixed by either putting it back into the preferences OR escaping from full screen visualiser directly to the song listings as it would do with Cmd T, in a future update.