It is possible to use that normal, comfortable keyboard shortcut to get out of a full screen Remote Desktop, but requires a slightly different setup before connecting. Instead of minimizing the remote system, I just switch to another local program and leave the remote system in the background with the following:
- Before connecting to the remote machine with Remote Desktop Connection, on the "Local Resources" tab, I set "Keyboard" to "On this computer". This allows using Alt+Tab to get you back to any other program on the local system.
- When I want to switch between programs on the remote system, I use Alt+Page Up, which works just like Alt+Tab would, but only on the remote system.
In addition, you can use Alt+Page Down (or Alt+Shift+Page Up) to cycle through the active programs on the remote system in reverse.
One caveat Luc mentioned should be pointed out: using this setup, all keyboard shortcuts using the Windows Key are sent to the local system. An example would be Windows Key+E to open Windows Explorer, which will get you to the local file system, not the remote one.
It took a short amount of time to get used to, but this setup has worked well for me without the need for additional software or more than one shortcut.