About Windows:
- Left Alt has a special meaning: it steals focus from the application (I never remember what it does then); it has already been discussed, there is a simple workaround (by adding code to SFML), and it might officially be integrated to SFML in the future
- Right-Alt (Alt Gr) has a special meaning too: it is a shortcut for Alt + Ctrl; don't ask me why, this is how things are defined on Windows