This might be old hat to some, but I just discovered this behavior by accident (in both 10.3 and 10.4). If you double-click to select a whole word, and then hold the mouse button down, you can then drag to select contiguous words, one word at a time. This is similar to how Microsoft Word works. It seems to work in Safari, TextEdit, TextWrangler, Mail.app, Finder, etc.
[robg adds: This was news to me, too, and it seems to work across Carbon, Cocoa, and even Java apps (jEdit, at least).]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20051108130522201