To select multiple contiguous columns, just drag in the column header (above the ruler), e.g. form 2 to 5, as same as in Excel.

Shift+clicking also can be used in the column header.
However, @Yutaka, there’s a bug:
Click 2 in the column header.
Shift+click 5.
** Only column 2+3+4 are selected.
(Though Shift+dragging is OK.)