This is my most favourite feature from ruby bundle in TextMate. Unfortunately, I can't find how to do the same in ST2. It still inserts the marker when you press TAB after the # symbol, so, I hope, ...
In Textmate, I can make a regular multiline selection using the keyboard and switch to column selection mode by pressing the alt (⌥) key. I have not found a similar way of doing this in Sublime Text ...