In visual studio you can select a block of text by holding down Alt when when selecting text with the mouse. This is very useful for selecting a column of data or tex
Right after I submitted this I was looking through the keyboard shortcuts and found the commands Adrian mentioned. By looking at how these are mapped and playing around a bit more I figured out how it is setup in the default profile for Team Suite.
To start a block select you press Alt + Shift + Home or Alt + Shift + End. This highlights to the end of the line or the start of the line depending on what you pressed.
Thereafter Shift + arrow and Ctrl + Shift + arrow, can be used to expand the region as desired.
The Alt + Shift + arrow key combination still works in VS2008 (at least it does in my default key mappings). It is possible that your key mappings are not set correctly to what you expect to work.
To manually set the key mappings, you need to look at Edit.LineUpExtendColumn, Edit.LineDownExtendColumn, Edit.CharLeftExtendColumn and Edit.CharRightExtendColumn in the keyboard settings and reassign them.