Keep menu bar even in full screen mode?
In reality, there are always solutions. It sounds like you're looking for a system level solution to this problem.. I may be able to help point you in the right direction. Here's what I'd try.. Also, I'm going to assume you're not on Lion, which may actually have a preference setting for this kind of thing, sounds like it may from one press release I read, anyway.
1. App-specific config settings
I'd start by exploring all the config options for your specific application. Maybe you even have a friendly gui option for this.. Failing that unlikely event, many apps will store their own preferences inside of their app directory (those icons in /Applications are actually 'executable' directories, there are lots of files inside them). You may also want to look around in your user/home directory - particular under "~/Library/Application Support/[App name]". I've found many games graphics engines have config options you never get a gui for. In a case like this, maybe you could set a lower resolution or some flag that lets the OpenGL (assuming that's what we're really talking about) context run in a window rather than in full screen mode.
2. Explore the defaults system
OSX has a structure that I believe to function much like the Windows Registry.. A kind of database of settings. This is the defaults system. With piles of luck, maybe there's a setting in there?
2.5 Try InsanelyMac forums
I've found the people roaming the InsanelyMac forums to be severely knowledgeable about the plumbing of OSX. I'd head over there and ask for help. They may help you figure out a 'defaults system' solution, or something else.
3. It's a trap! The shield is still up! Pull Up!
It's possible if none of that stuff yields fruit, you may just HAVE to wait for OSX 10.7.. Or hack out some other solution that sort of satisfies your needs. Hopefully it won't come to this, but it does sound to me like a possibility.. Unless you can get your hands on the code for the thing you're wrestling..
Anyway, that's the best I can give ya. Good luck friend!
I've found the answer here (Randy6T9's comment to the question):
Add a space to Mission Control: open Mission Control with F3 (or swiping up with four fingers on the trackpad), then click on the '+' button on the top-left corner of the screen.
From Mission Control, drag your application to the new space.
Maximize the application within the space: hold alt+shift and click on the green button of the application top bar.
Ctrl+F2 gets menubar focus in the full screen app mode.
Set the F-Keys to standard function keys via keyboard preferences. The default is Ctrl + F2for menubar focus, and Ctrl + F3 for dock focus.
You can press shift & alt/option and click on the green maximize button. This maximizes the screen and keeps the menu bar on top. Credit: https://forums.macrumors.com/threads/how-to-always-show-menu-bar-in-full-screen.1221766/#post-22753191