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
This feature is present in SSMSBoost add-in for SSMS (I am the developer of this add-in):
Shift-F5 will select the current statement (which allows you to review what you are currently going to execute). Then you press F5 and execute it.