To select an individual segment, move the mouse cursor close to it and click. The selected segment with two nodes will appear red in color. You can turn this off in the Preferences Editing dialog screen. If this option is switched off, hold Shift and click the segment’s enclosing node points to select it.
To marquee select part of a contour, click in the empty space and drag around the area which you need to select. Use Shift to add to the selection or remove from it. Alt-drag for a freeform marquee selection.
Marquee selection does not select handles (off-curve points) belonging to unselected segments, but this can be changed in the Preferences Editing dialog screen.
To select segments belonging to different elements, turn on the Edit > Edit Across Elements option.
To select segments belonging to different glyphs, additionally to the Edit > Edit Across Elements option turn on the Edit > Edit Across Glyphs option.