Hi,
I noticed that when I used the sample:
http://www.pygame.org/wiki/toggle_fullscreen?parent=CookBook
To control my fullscreen toggling, after I went into full screen, I 
could often just press enter (without the ALT) to get back to windowed 
mode.  After some playing around, it appears that either pygame or SDL 
misses the ALT key-up event while switching into fullscreen mode...  I 
was able to reproduce this issue on both a linux and win32 system.
Any suggestions?  Am I doing something wrong in my toggle_fullscreen code?