There's a Notepad++ feature that I'm not able to recreate in ST2...
I also missed this feature.
Most all features that people miss from an Editor X are handled by plugins. Your particular desire is found in a plugin called WordHighlight https://github.com/SublimeText/WordHighlight
You can get this directly from Github, or install Package Control from Wbond and install it directly from the editor as well as other plugins.
Select word and then ALT+F3 to select all words. Then you can hit F3 alone to skip between these words.