How can I easily select the word my cursor is currently inside?
This has been covered in a screencast on the Ask Different Blog. I encourage you to watch the video, but I'll summarize here.

First, create a little AppleScript that presses the two keyboard shortcuts. Open AppleScript Editor (in /Applications/Utilities) and paste this in:

tell application "System Events"
    key code 123 using option down
    key code 124 using {shift down, option down}
end tell


Save that as a script in ~/Library/Scripts (create the folder if it doesn't already exist).

Now, install the app FastScripts. It's free for up to 10 scripts.
Open the FastScripts preferences, find your Select Word script, and assign a keyboard shortcut to it.

Now you can press your chosen shortcut in any app and the current word will be selected.