Darksiders has been the only game I haven't rrun on Windowed mode. I think you can change the config file manually in the settings somewhere and set Full Screen to 'false' or Windowed to 'true', whichever it may be but I haven't looked too much into that. The usually Alt+Enter doesn't seem to work.
Somebody posted this on the Steam forums: http://forums.steampowered.com/forum...t-1674971.html
but I haven't tried it myself to know if it works.