Dual screens and maximized video on Yosemite
In short, no.

OS X has always behaved like this.
The only alternative is to use maximised rather than fullscreen, though that is app-dependent, especially when it comes to video playback…

For instance, VLC can do it, Youtube can't.

If the window has the traffic light buttons, top left, it can. If it doesn't - like a Youtube video where the main window has those but the video itself doesn't, you're stuck.