On the Mac, there are two easy keyboard shortcuts for selecting multiple files at a time. These shortcuts work in most OS X applications, including Address Book, Mail, iTunes, and iPhoto. I use these shortcuts while scrolling through iPhoto to quickly select photos for a photo album; I use these shortcuts while scrolling through iTunes to quickly make a music playlist.
To choose a congruent list of files from a larger list or group of files, click on the first file you want, then hold down the Shift key, then click on the last file at the end of your list. All files in between will be highlighted. You can drag and drop the highlighted files or even move them to the trash.
If you want to pick and choose non-congruent files out of a larger group, simply hold down the Command key while selecting files. The selected files will be highlighted. Again, you can drag and drop these highlighted files or move them to the trash.