Yep, I'd find that useful too. The right place to implement it would
be the shell rather than the terminal though. However, bash certainly
can't do it at the moment. Zsh at least has highlighting of the
selected text, and it also has a programmable line editor, via so-
called zle widgets that are bound to keys. Hence I expect it would be
possible to implement Windows (née CUA) style selection there. I've
had a look around for a solution like that in the past, but
unfortunately I didn't find anything.
I've also wondered previously whether a hackish solution in mintty
would be possible. The first left/right arrow key press with Shift
down could set the selection start, and such keypresses would then be
sent to the shell without the Shift. The selection would extend
between the start point and wherever the shell moves the cursor.
Keypresses other than Shift+arrow would end the selection. I haven't
so far got round to try this, and can't make any promises on when I
might be able to.
Meanwhile, there are some tips on how to get bash/readline to behave
in a more Windows-like way here (and a few more in the section above):
http://code.google.com/p/mintty/wiki/Tips#Readline_configuration
You might also want to enable the "Clicks place command line cursor"
mode on the Mouse page of mintty's option.
Regards,
Andy