Sublime Text has this:
Quick Add Next
To add the next occurrence of the current word to the selection, use Quick Add Next, which is bound to Ctrl+D on Windows and Linux, or Command+D on OS X.
Again, if you go too far, use Undo Selection (Ctrl+U, or Command+U on OS X) to step backwards.
Copy/Pasted from this page
Multiple Selection with the Keyboard
It would be awesome if Notepad++ supported it as a standard function. I am not the first to wish for this. Many many others have asked for it online as well.