Selecting columns in Visual Studio Code
In Visual Studio Code version 1.0, you can now select columns by holding down Shift+Alt, then click and drag with the mouse. This can also be done using just the keyboard by holding down Ctrl+Shift+Alt and then using the arrow keys.
On latest version of vscode - 1.45.1, you can achieve same by Shift+Alt itself ( verified in May 2020)
On macOS: Shift+Option and mouse, or Shift+Option+Cmd and arrow keys
For the ones who have tried to use the Alt Key + Mouse Selection, and failed. Try to Click the menu selection as follows:
Menu bar > Selection > {Click} Switch to Ctrl+Click for Multi Cursor. This will change the multi selection the with Ctrl key and mouse as well as enable to selection column selection with the Alt Key + Mouse Selection.
https://i.stack.imgur.com/x8tJN.png
I just published an extension for Visual Studio Code that converts a multi-line selection into a column selection. It mimics TextMate's Toggle Column Selection command and serves as an alternate approach to Visual Studio Code's commandoptionshift + arrow keys that I find more natural to work with.