I want to select multiple lines and put a cursor at the beginning of each line. Sublime Text can do this with Ctrl-Shift-L select multiple
Press Crtl + Shift + Alt + Arrow up/down to select multiple lines in Visual Studio Code. Note that the selected lines will be in one column (if possible).
You can also mark some lines and then do this combination and you have all selected lines included.
Moreover you can press and hold Alt and click the lines you need. This way you can select multiple lines that are not neighbours or in the same column.