When I am at the menu, and I alt tab out of the game, then back into it, particle effects stop working. I can check this by entering the particle editor, there is nothing visible there once I tab back in.
Also, when I run the game the cursor is stuck in the region my task bar is (the left of the screen, windows 7 64 bit), and clicking the mouse acts as clicking on the taskbar, bringing me out of the game. If I was already at the menu at that time, this game switching has caused all particle effects to stop working, forcing me to reboot the game and hope I can do the forced alt-tab prior to the menu loading next time.
As you can imagine, this is quite annoying.