I have a project in the works with OpenGL and SDL.
User can resize the window either fullscreen/windowed mode using option.

I use SDL_SetVideoMode to set up the window, but this solution destory the original SDL_Surface context (so all my OpenGL textures get cleaned too).

How can I correctly switches between fullscreen and windowed mode without textures cleaning?

You can't with SDL. Same problem as having a resizable window, SDL makes a new OpenGL context every time anything changes.

You can write to Cocoa directly and use -[NSView enterFullScreenMode:withOptions:] and -[NSView exitFullScreenModeWithOptions] to toggle at will, but SDL doesn't support this.