Some games intercept nearly all keyboard commands, and it is likely that there is nothing you can do to stop them (Crysis et. al. are notorious for this, as well as most EA games. Valve games, on the other hand, generally let hotkeys through. Its luck of the draw). Usually ctrl+alt+del still works (though sometimes you have to press it twice), and from there you can launch the task manager, effectively minimizing your game and letting you do whatever you want. Additionally, some games disable alt+tab only if there is not another task open into which you can switch, so leaving something running before you launch the game can help.
As for actually letting global hotkeys through, you might be out of luck. What game is giving you this trouble? Perhaps there is a method specific to that game that might work for you.