This was a major issue for me with FFXI - and I'd like to take the opportunity to say on PC I am dead against a ban on windowed mode. It was a silly so-called security precaution that simply annoyed the **** out of most of the players, and forced many to download apps that violated the T&C of the game so they could claim back their PCs ability to multitask.
A PC is a multitasking machine, it's designed not just to play games, but so you can browse the web and check your emails, chat to friends, put music on, all sorts. I think it unfair that SE limited those abilities while playing FFXI and I hope they see sense and allow windowed mode in FFXIV.
Additionally I'd love to see multiscreen support, in two modes - one where the game runs in one screen and your normal desktop occupies another, a second where you can have an in-game 'canvas' on the second screen to put UI elements, quest logs, notes, maps etc. I think someone else mentioned this on here a while ago and I think it'd be a pretty unique feature that'd really clear up the screen on the gameplay window (assuming it's totally customizeable and you can leave original elements on the first screen if you so wish).