The default Album list tree only lets you select one thing at a time. I'd like to be able to use the Windows shift/ctrl keys to select more than one song.

For example, select album X and the 3rd and 5th songs from album Y, then drag them all to the Now Playing list.

I second that. Maybe there's a way to do that, but for now, I don't know it.

This has been requested multiple times already. While we regard it as a desirable feature, it is not trivial to implement with the standard tree view control provided by Windows. In short, we are aware of the feature request, but I don't want to promise anything in this regard.

In the mean time, you could try out Facets by Frank Bicking for an alternative media library browser.