Also you could use the Pen Tool and create virtually any shape including complex curvature. You can then turn this into a selection. This "Path" as it's called, can be saved for use later on, and has many more possibilities than just being turned into a selection.
Unlike the Polygonal Lasso, you can edit each "Anchor" (Each point in the shape) at any time, in any way. Including curvature in several directions. The polygonal tool is unforgiving and you can't go back on yourself. Although it's fine for quick, simple shapes...