Lag in Fullscreen, not in Windowed Mode

Lag in Fullscreen, not in Windowed Mode

Is it me or does a game in windowed mode have noticably less display lag?
I tested it with the same resolution, so the only difference was the mode
set in DirectX. In this case the window of course had no border, it was
absolutely looking the same, the buffering was the same too.
Did anyone experience something simmilar? Why could it be like this? Are
there games where it's the opposite, less lag in Fullscreen mode?
PS: I'm talking about games for DirectX 9. Scanline synchronization was
*about the same, the code for fullscreen mode used INTERVAL_ONE and the
windowed mode did wait for a scan line that would differ from system to
system. So the user at first had to set on what scanline (given as pixel
height) to wait for, in order to get no tearing. Could this be the
explanation why an actually slightly faster mode is not really seen often
in games?