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
If the executor add-on solution (in the top posted answer) isn't working properly, i got it to work for me (SSMS v17.8.1): The add-on adds a command under tools: Tools > Execute Inner Statement.
You can assign a custom keyboard shortcut key to it by going to Tools > Options > Keyboard then search for "execute" in the 'Show commands containing:' and selecting Tools.ExecuteInnerStatement. Then just assign your desired keystroke(s) in the 'Press shortcut keys:' field and hit the Assign button.