Well, you should get a performance boost if you play in a lower resolution window versus playing in a full resolution full screen.
I have Civ4 set to play in window mode at 1024x768. May laptop LCD runs at 1400x1050, so I've got plenty of screen realestate left! However, I maximize the window when I've got nothing else going on. This results in some bluriness (since laptops should always be running full screen apps at max resolution) but it's workable... EXCEPT for the fact that the terrain mouse over seems to be off by a few squares when I do this. Anyone notice this? For instance, I'll mouse over a mountain and the info I get is actually for the plains a couple of squares away...