Users sometimes run applications as root or other users in their session to perform various tasks; there are also nautilus extensions allowing applications to be execute to edit various files (think running gedit to edit a  file in /etc/). I believe it would be very useful to mark those windows in a way that the user can quickly distinguish them, and know they are running with potentially dangerous privileges. A small icon, mark or other kind of icon, or a distinctive colloring of the title bar would be awesome, though a strategy such as the one used for windows running on remote hosts (adding something to the title string) works too.