CTRL+X, or double click.
Both do the same thing. They select the same unit within camera range... a bit a bit beyond.
EDIT: Also while in game, F10 (menu) -> Hotkeys -> Selection
There is a bunch of interesting stuff in there, some of which not bound, like:
Deselect haf: not bound
Deselect above 30% health (in other words select serely damaged units within an already selected group): CTRL+E
Select owls: CTRL+S
Deselect full health: unbound
Select full transports: unbound
