What would be the best way to select and display featured entries? What would be the best way to select and display featured entries? For example, if I want to choose at least 3 entries to feature in a sidebar apart from the main content?
It always depends on your needs, so there is not really a best way to do feature entries, at least if you don't give more specific info on what your exact situation is.

To have a nice overview of which entries are featured, you could add a new section (structure or channel), with an entries field to collect the entries you want to be featured.

Another idea would be to collect the feature entries in a global set using matrix. You need just a single block type, again with an entries field to make the relations.

A Matrix field or a structure section enables you to (optionally) re-order the entries to your liking.