Many people who are new to the Mac may run into some confusion when trying to apply file selection techniques in OS X. For the most part, icon selection in OS X is straightforward and designed to be intuitive, but there are some situations where the selection behaviors change, notably between icon and the various list views.
The basics for selecting files are consistent for all views, which are to click and drag over files to select them in groups, or to click each item to select it individually. You can also use the shortcut Command-A to select all files in the foremost window. To deselect the items, just click anywhere in the window background.
You can also reverse the selection status of any item or group of items by holding the command key and either clicking the specific items, or dragging a selection box around them. This is convenient for appending or removing groups of items from an existing selection.
The difference between views is basically in how the Shift key works.
Icon view specifics
In addition to using the Command key for appending and removing files to groups, you can also use the Shift key when in Icon view. These two keys behave identically when selecting in Icon view.
List view specifics
All of the other views in OS X (List, Column, and Cover Flow) are treated as "List" views and have the same selection behaviors. Unlike Icon view, when you use the Shift key to select two items in a list, all items between the first selected item and the second selected item will be included in the selection. The first selected items is remembered, so if you change your second selection to another items, the system will alter the full selection to again be just the items between the two selected files.
Differences with Windows
One of the notable differences between OS X and Windows is that in Icon view you cannot select one item and then hold shift while selecting another item to include all items between them. OS X supports this in the various list and column views, but in Icon mode it does not work. For the most part, however, if you are migrating from Windows then when selecting items in the Finder treat the Command key like the Windows Control key, and you should feel right at home.