The first time it happened, I had played E1M1 of Heretic and then moved on to E1M2. Shortly afterwards, I quit. When I did so, it looked like GZdoom was exiting normally, I play full screen but, when I quit I get a brief view of a Window frame (title bar etc) as the Windows desktop is brought back into focus and the game releases it's control over my machine.

This time, however, I got to the point where the Window frame was visible, but the contents of the Window were just black. The music continued playing and the game was stuck like that. I did have my mouse pointer back and I was able to click on the X button in the top right of the Window to try and close GZdoom. However, this didn't close the game. After a delay, I got the "this program is not responding... end now" Windows dialogue. After a few tries, eventually GZdoom did indeed get closed by this method.
The second time was very similar. However, I have also been able to play without any such problems.