I have two Nvidia GeForce 8800GTS cards connected via SLI to drive a single monitor. (Hey, I like my framerates high...leave me alone.
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If I go full screen to windowed, I keep the textures. Strangely, though, in this direction only, it seems to automatically do a /reload (or a /console reload). This means it, of course, would get the textures back.
If I go windowed to full screen, I lose the textures. It's obviously not doing a /reload for me when I go to full screen.