If you're having trouble with being left in fullscreen, check to make sure

SDL is resetting the video mode correctly.

stepmania/src/StepMania.cpp

@@ -563,6 +563,16 @@ int main(int argc, char* argv[])
 	catch( RageException e )
 	{
 		g_sErrorString = e.what();
+
+		/*
+		 * Don't do this.  We delete DISPLAY before opening the error dialog, which resets us
+		 * back to a normal windowed state.
+		 *
+		 * PREFSMAN, DISPLAY, TEXTUREMAN, SCREENMAN or INPUTMAN might not exist,
+		 * or might not be in a reasonable state to call ApplyGraphicOptions.  We
+		 * must not clear the error string, or we'll simply disappear with no explanation.
+		 */
+#if 0
 		if (!PREFSMAN->m_bWindowed)
 		{
 			try
@@ -577,6 +587,7 @@ int main(int argc, char* argv[])
 				g_sErrorString = "";
 			}
 		}
+#endif
 	}
 #endif