There is already the Lasso Select tool, so I assume you mean something more for drawing a polygon with perfectly straight edges?

I'd like to +1 this, yes the lasso select is good for rough selections where you have room around the edge but a polygon select with perfectly straight lines help with precision

It would be nice, instead of click-dragging with the lasso tool, to be able to click the next point and to have the selection draw a line between the last point and the new clicked point. Maybe using shift+click or ctrl + click : This way no new tool would be needed. It is what I intuitively tried at first