I'm studying the effect of a law on a sector: how do I select the control group?
Ideally, but not always feasible, the first option would be to select a similar region where the law is not in place and compare them (e.g. different country / State / city)

If it is not possible to compare with another region, then chose a similar industry. I would try to justify it well though, and comparability would be harder to prove. For example, if you want to study subsidised education, you might want to compare it with subsidized healthcare - the argument could be they're both services, and provide basic needs at some point, with standardised outcomes expected.