As a long time Toad for Oracle user, I have gotten used to hitting Ctrl+Enter and having just the statement under the cursor be executed.
In SQL Server Management St
Hit Ctrl-E while text is highlighted.
Try to define macro in SSMSBoost SSMSBoost/Settings/Macros:
Select free slot for your macro in right panel fill caption (if you want) add 2 commands to sequence: SSMSBoost.SelectCurrentStatement Query.Execute assign youur favorite shortcut and that's all.
To run just a section of a larger script, try this ..
Steps:
Collapse the SQL statement you want to run by clicking the minus sign in the left margin next to the statement. That will show only the first line (with an ellipsis "..." to indicate more code not shown) and the ending ";" for the statement.
Highlight the line.
That will run just the highlighted statement. If you want to run more than the one statement at a time, collapse each statement and highlight all that you want to run, then click [F5]. It's a work-around, but still much easier than having to drag and highlight numerous lines of code every time.
If the executor add-on solution (in the top posted answer) isn't working properly, i got it to work for me (SSMS v17.8.1): The add-on adds a command under tools: Tools > Execute Inner Statement.
You can assign a custom keyboard shortcut key to it by going to Tools > Options > Keyboard then search for "execute" in the 'Show commands containing:' and selecting Tools.ExecuteInnerStatement. Then just assign your desired keystroke(s) in the 'Press shortcut keys:' field and hit the Assign button.
Redgate's SQL Prompt extension for SSMS can do this.
It's not free but in my experience it's well worth having. Better intellisense than the SSMS out of the box version, tab colouring, tab history (so valuable!), snippets, single statement (not just a single line) execution, and lots more.
You can check out this add-in for SSMS 2012. Place the cursor within the statement you want to execute and press CTRL+SHIFT+E
SSMS Executor - https://github.com/devvcat/ssms-executor/releases
Update:
Project moved to github and the addin re-written to support SSMS 2014, SSMS 2016. (Previously, the project lived on codeplex, at SSMS Executor - http://ssmsexecutor.codeplex.com/.)