So :

adding "super" to my custom overloading of the Gosu#button_down(id) method works like a charm ! Now, it's possible to go from windowed to fullscreen mode using alt + enter without any problem.

Testing the gosu-examples works great. In fullscreen or windowed mode, the textures will display correctly.

All that leaves is that I did a mistake somewhere in my own code. Because if I use the shortcut, I'll go to fullscreen mode but without displayed textures. And then, if I go to windowed mode again, same thing : its displays without textures.

For the current project, I'm not using custom texture class, only Gosu::Image. So I just don't get it.

Example of project that doesn't work properly :

http://paste.awesom.eu/Hb5m&ln
http://bestguigui.free.fr/gosu/cube.rar

At first, no problem, it displays the texture. But then, it will just dissappear.