Fullscreen. For me, bigger screen filled is nice for focus-grazing through small-spaced patterns.
For the resolution (SA and UFO, right?), it's always 640x480, just to stick with the default pixels (though I really can't play SA and UFO under a Win98 system - I just rent a WinXP on a NetCafe).
I'd appreciate the screen much more if I were playing at like 5-6 meters away from it, just like how console games are played in TV (comboed with joypad usage), for the same reason of seeing the entire screen with quick eye focus change.
... Playing like this feels much different from playing windowed with 1meter-ish distance, BTW.