Ah yes... Yosemite consolidated Mountain Lion's full screen and the classic Mac OS maximize options into a single button. If you want to use the older functionality, hold down Option when you click it.
Now the menu bar can still be accessed in full screen mode by moving the cursor all the way up to the top of the screen. You can also quickly switch between desktops and full screen applications in multiple ways:
- With three or four finger swipes* left and right on the trackpad.
- By using Mission Control (F3 or three/four finger swipe* up)
- With the app switcher (Command+tab)
- Or through the Dock (which can be accessed by dragging the cursor "past" the side where it is located)
*The number of fingers used depends on how your trackpad is configured in System Preferences. When using a Magic Mouse, two fingers swipes are used for switching applications and a gentle two finger double-tap brings up Mission Control.
It is true that only one window can be shown at the same time in full screen mode; hence why some programs behave a little differently in this mode. (eg. The composition screen in Mail comes up as a pop-up rather than a separate window)