Why is playing in a window faster than fullscreen?

[drhycodan]

I noticed as I was playing new super mario bro wii, playing in a window, even maximized, is faster than running it fullscreen (for OGL at least). Shouldn't fullscreen mode be faster than windowed mode? In every emulator or PC game I've played, fullscreen is almost always faster than windowed, or at least the same speed. Can someone please look into this?