Exiting out of fullscreen

Maybe I'm stupid, but I can seem to exit out of fullscreen when in play mode. I instinctively press the ESC to come out of it and I've tried everything else.

Do I need to create a script for this?

Alt + Enter will toggle full screen/windowed

Yes, unless you're using the web player.

http://unity3d.com/support/documentation/ScriptReference/Screen-fullScreen.html