There are different Play Modes that you can use when starting a play session.
Click the down-arrow next to the Play button from the Main Toolbar.
This will open the Play Options menu as seen below.
Choose Selected Viewport, Mobile Preview, New Editor Window, or Standalone Game.
The Selected Viewport is the default setting and launches the game within the Editor inside the currently selected Viewport. New Editor Window also launches the game within the Editor however it creates a new standalone window, leaving the Level Editor Viewport the same. Mobile Preview and Standalone Game will launch the game in a standalone version outside of the Editor (with the Mobile Preview providing additional tools used to mimic devices as closely as possible).
For the other options in this menu, refer to the Related Topics section at the bottom of this page for more information.