TL;DR: I am suddenly using VS Code because of multi-cursor. Never thought I would. How the mighty have fallen.
The Shortcuts (If That's All You're Here For)
These are for Mac — they probably work on Windows with some experimentation. I use the "Selection → Switch to Cmd + Click for Multi-Cursor" option.
Shift + Cmd + L Select a word and press Shift + Cmd + L to select all instances of that word in the file.
Shift + Alt/Option + I Select a bunch of lines, then Shift + Alt/Option + I puts a cursor at the end of every selected line.
Cmd + Option + Shift + UP/DOWN Selects in a column directly up or down from the cursor's position.
Alt/Option + Click Places a new cursor at each clicked location.
See the VS Code Key Bindings page for the full OS-specific shortcut reference.
The Rambling Part
The best feature in Sublime Text 2/3 is hands down multi-select. I've used it across many languages and stacks for years. Highlight a word, automatically edit all instances in the file. Select lines in a column, edit many rows of data at once. It's basically the editing power of vim but more approachable for vim noobs like me.
Multi-select is the one thing that kept me from switching editors for a long time. Others tried to replicate it but none of them felt as smooth and effortless as Sublime.
That changed when I gave VS Code another shot. My first attempt didn't stick — I was writing Vue and the plugins completely mangled my spacing. But I tried again, and found that VS Code's multi-cursor implementation is actually delightful. Not quite as smooth as Sublime's original, but good enough to make me switch for most things.
To be fair, I'm a bit surprised I like a Microsoft product for programming this much. Microsoft has been making real strides for years — shedding the old proprietary worldview to a meaningful degree and genuinely embracing open source. Enough that I switched. I have gone to the dark side. I don't know if they have cookies, but I'm diabetic so that's a no-go anyway.
There are plenty of other things I like about VS Code too — the built-in terminal, easy extension support, and the way it generally knows what you need before you ask. Very well done. I appreciate that actual developers made this and made it good for the masses.
Well, Microsoft — you did it. Coincidence that Steve Ballmer had to leave before I got on board with your plan for world development domination? I think not.
FAQ
Is VS Code multi-cursor the same as Sublime Text multi-select? Close but not identical. VS Code's implementation is very good and covers the main use cases — selecting all instances of a word, column editing, per-line cursors. Sublime's feels marginally smoother, but the gap is small enough that it stopped mattering.
What's the fastest way to edit all instances of a variable in VS Code? Double-click the variable to select it, then press Shift + Cmd + L (Mac) to select every instance in the file. All cursors are live — start typing and every instance updates simultaneously.
Does column selection work the same way as Sublime? Yes — Cmd + Option + Shift + UP/DOWN gives you a vertical column cursor. You can also hold Alt/Option and click-drag to make a column selection with the mouse.
What made you finally switch from Sublime Text? Honestly just the multi-cursor implementation reaching good-enough quality. The built-in terminal and extension ecosystem sealed it. Sublime is still great software — I just stopped having a reason to keep it open.