Depends on the resolution you play at. If your game resolution is your desktop resolution, then fullscreen is likely to be slightly faster than windowed mode in all scenarios, for the reasons enumerated by Philipp.
Honestly, however, on my dated hardware I take a much greater performance hit by running games at desktop resolution than I do by playing at a lower resolution through the window manager. If your desktop resolution is not your game resolution, by all means do play in windowed mode.
Fullscreen mode at non-native resolution means that instead of shifting graphics output to a rectangle on the screen (something relatively fast), your computer instead has to scale the picture from the game resolution to your native resolution with bicubic filtering or better (expensive!).
Even if it is your monitor itself that does the heavy lifting, or if you disabled hardware scaling at higher resolutions (in which case you still have to translate pixel coordinates), you will get terrible performance and occasionally crashes whenever you Alt-Tab from and to the game.
Finally, not all operative systems allow you to skip the screen compositing system altogether. A notable exception is certainly Ubuntu (which can draw notifyOSD notifications on top of games); I don't know how Macs work here.
So, if getting every single last drop of framerate is your priority here, only play in fullscreen mode:
- If you're using Windows (or Mac?), and
- If you're playing at your screen's native resolution, and
- If you can't get a speedup by playing at lower resolutions in a window, and
- If your desktop is set at your screen's native resolution.