What is the keyboard shortcut navigate back to the last cursor position in Visual Studio Code?
With VSCode 1.43 (Q1 2020), those Alt+← / Alt+→, or Ctrl+- / Ctrl+Shift+- will also... preserve selection.
See issue 89699:
Benjamin Pasero (bpasero) adds:
going back/forward restores selections as they were.
Note that in order to get a history entry there needs to be at least 10 lines between the positions to consider the entry as new entry.