You should set the fullscreen mode through the config->video menu. Else the default fullscreen may not be compatible with your monitor/drivers combo, which leads to a black screen.
Are you using Windows 8 or 64-bit 7? I don't get a black screen but unless I'm at 640x480 DR-F I get a horrible amount of slowdown. I guess it's not compatible with my shitty gfx card/drivers, but 9x and anything else that uses DX9+ runs flawlessly with tons of filters/shaders on. HQ3xbold/S or HQ4x with that 5xBR 3.7a shader in 9x looks absolutely wonderful; it's almost like running SNES games in HD. If you can't get ZSNES running properly, I'd go with 9x.
I have absolutely no problems with windowed modes, but FS modes other than the one listed above give me AWFUL slowdown. ZSNES is a good bit faster, but 9x atm has better sound & more filter options.