I consider this a "must have." Mainly, since it's standard text editing behavior in pretty much every other app. Even Notepad! Heck, it even works on this web page in every browser I know. It's so ingrained into my muscle memory that I'm constantly trying to do it in Sublime.
(For searchability, let me restate the original request. Double-click-and-hold on a word should both select the word and allow you to extend to the selection to other words by dragging while the button is still held down.)