Polygon Lasso Tool (L)
Ok, this should be the Lasso Tool, but I use the Polygon Lasso a lot more often. Use this to draw selections in whatever shape you would like. To close the selection, either click on the beginning point (you’ll see the cursor change when you’re on it), or just double-click. When holding the [Ctrl] key, you’ll see the cursor change, and the next time you click, it will close your selection.