jEdit:
With the keyboard: press Alt-\ (Opt-\ in Mac OS X) to toggle between rectangular and normal selection mode; then use Shift plus arrow keys to extend selection. You can switch back to regular selection mode with another Alt-\ (Opt-\ in Mac OS X), if desired.
With the mouse: Either use Alt-\ (Opt-\ in Mac OS X) as above to toggle rectangular selection mode, then drag as usual; or Ctrl-drag (Cmd-drag in Mac OS X). You can switch back to regular selection mode with another Alt-\ (Opt-\ in Mac OS X), if desired.
Actually, you can even make a non-rectangular selection the normal way and then hit Alt-\ (Opt-\ in Mac OS X) to convert it into a rectangular one.