Hold shift + right click.
You can also do multiple selections that aren't limited to being in the same column. For this, hold ctrl and left click. You can then use alt and left click to delete cursors from the selection. Something I use common is ctrl + left click then ctrl + d to select the word. Then repeat to select multiple words to change at once.
I find Sublime's implementation of multiple selections one of it strongest features and something any other editor would have to have for me to switch away from it now.