The Selection menu offers you tools to create selections or manipulate existing selections.
Wait, you don't know what selections are? Well, a selection selects certain pixels of you image or layer. You can then manipulate the selected pixels without affecting the rest of the layer.
In other words, it super useful! But with Photoshop CS3 and later the selection tools have grown tremendously. When you have an active selection, as well as a selection tool... selected... you have access to the Refine edge option in your toolbar. This little gem can help you in greatly enhancing your selections, and since PS CS5 you even have an amazing magical brush that turns rough selections into very accurate and detailed ones!