How do I escape an application without close it when it is running full screen?

So I just bought a Mac, and have been using a Windows PC my whole life. One thing I've learned as a windows user is to escape out of an application at any time when I just hit ctrl-esc or alt-tab. What is the equivalent for OSX? In particular, when I'm playing World of Warcraft at full screen sometimes I receive instant messages in the background, and the only way to get to them seems to be fully exiting Warcraft. I can't seem to just command-tab to it. Is there a way to get back to my desktop? I felt I've tried every command-button combination can't find it. Any ideas would be appreciated! Thank you!

~Gally

 

Thanks for the input. The only thing that seems to work is command-M which puts it in a framed window, but then atleast I can hit command-H which will minimize it. Kind of a hack around it. But it works.

I would run it in a frame but I actually get slower fps then when I run fullscreen.