Using Microsoft Remote Desktop Client in Windows 7 in full screen, is there another way to switch from the remote machine (which captures all input from the keyboard) to the local machine, aside from using the keyboard combination for toggling full screen of the remote desktop session?
The trick is to stop Remote Desktop from grabbing the Windows keys, such as Alt+Tab. Once you've done that, switching out of Remote Desktop is easy, but you need to learn some new key combinations for switching applications within Remote Desktop.
In case you have trouble finding the settings for Remote Desktop, they're available just before you open a connection. Here's an answer from the FAQ's:
Open Remote Desktop Connection by clicking the Start button, clicking All Programs, clicking Accessories, and then clicking Remote Desktop Connection.
Before connecting, click Options, and then make the changes you want on the Display, Local Resources, Programs, Experience, and Advanced tabs.
On the Local Resources tab, set the keyboard to, "On this computer".
Connect to the remote computer, and launch a couple of programs. Alt+Tab will now switch out of Remote Desktop. How do you switch between the two programs within Remote Desktop? There's a helpful list of key combinations on Coding Horror, but the one I use the most is Alt+PgUp.
I found a way to do this using AutoHotkey. See my answer here: Keyboard shortcut to minimize Remote Desktop
Your question title and question text are very different. Your title asks what the keyboard shortcut is to change swap back to the local desktop, and the text asks how to do it without using the shortcut. For the latter, the answer is use the little bar at the top of the remote session. There's a set of icons up there you can use to bring the remote session back to a window.