As a long time Toad for Oracle user, I have gotten used to hitting Ctrl+Enter and having just the statement under the cursor be executed.
In SQL Server Management St
You can check out this add-in for SSMS 2012. Place the cursor within the statement you want to execute and press CTRL+SHIFT+E
SSMS Executor - https://github.com/devvcat/ssms-executor/releases
Update:
Project moved to github and the addin re-written to support SSMS 2014, SSMS 2016. (Previously, the project lived on codeplex, at SSMS Executor - http://ssmsexecutor.codeplex.com/.)