I can get you close. There are a number of free "post-it note" emulators. I use 7 Sticky Notes (http://www.7stickynotes.com/), which has a bunch of nice features. This one does not have an "always on top" setting. One that has that setting may keep itself on top of a full screen application. I don't know what would happen if two applications fight for "always on top" status (Stephen Wright contemplated what would happen if you strapped buttered toast to the back of a cat and dropped it).
The one I use has a simple show/hide toggle that might even be better than always on top. When you want to see the notes, for as long as you want to see them, "show" will put them in front of the full-screen application. Then you can hide them when you want an unobstructed view.
I tested the show/hide toggle on 7 Sticky Notes. That does work with full screen applications (at least the ones I tested; didn't test games). If it were me, I would prefer the ability to toggle since you get the best of both worlds. Downside: one extra click to "show" after the full-screen application is running.
I just tried, I couldn't make it work with 7 Sticky Notes, windows short-cut seems blocked.
I got pretty close with Stickies, it lets you attach the notes to a program, so I did it with my game, and when I open the game, I get back to the desktop, and the game is reduced (as the note doesn't manage to display on top of the game)
the key element seems to be that thses notes are windows,
ultimatly I don't need an interactive window, I just need a displayed non-interactive text or image, on top of everything else, even my mouse, I wouldn't mind.