Also notable is that you can skip the currently selected element (i.e. unselect it) if you press ctrl+k+d. Sublime will then continue to select the next word, but leaves the one you just selected unselected.
ctrl+k+d was added recently and was quite a big improvement
but it's still hard to use because if you do one wrong cmd+d you'll have to either start again or use the mouse.
the way cloud9 ace[1] handles this is better, since it keeps last added selection as active one and from there you can add selections with ctrl+alt arrows or remove with ctrl+alt+shift arrows
If you press ctrl+d one time too many, you can use Soft Undo (ctrl+u / command+u) to step backwards. Soft Undo undoes selection commands as well as modifying commands, as opposed to regular undo, which undoes modifying commands only.
[1]http://ajaxorg.github.com/ace/build/kitchen-sink.html