Retaining OpenGL contexts

Is there any (tidy) way in which to keep an OpenGL context between
SDL_SetVideoMode calls. The surface I’m requesting would be at different
resolutions. I am using a windowed mode for my menu system and any
possible mode for the actual game.

the reason i’m asking is that i would like to be able to load and free
the GL Display Lists and Textures without having to reload them every
time i switch surface.