When you say "window manager" you refer to the X window system, used by most distros. I suppose you are talking about desktop managers, like kde, gnome, etc, right?
Kde and gnome are the more resource-demanding managers. After that, you have window maker, which is very good and fast, and a series of boxes, like black box, flux box, open box, etc.
Applications supported can be tricky: I have kde, gnome and others installed, and my window maker can run kde apps or gnome apps. Kde can run gnome apps, and vice-versa. The bad thing is that you load their libraries and take memory, when you do that. It's a kind of superimposing tasks situation.