Click on a thumbnail to open that photo in preview mode.
Click right three times.
The fourth thumbnail should be highlighted. http://i.imgur.com/6JN1q.png

Now I decide I want to delete the third and fourth thumbnails, so logically I would hold down shift and click left. I do this, but nothing happens. I click on the thumbnail of the already-opened fourth photo with the mouse, and shift-left. Now it works, #3 and #4 are selected.

Now click right a few times. Let's say we're looking at photo 10, and the thumbbar shows that #10 is highlighted. I decide I want to delete this photo and the next one too, so I click shift+right. Instead of selecting #10 and #11, it selects all photos since the one I clicked on with the mouse (#4). If I was doing things as fast as I normally do, I would have deleted a whole bunch of photo I did not want to delete!

If the thumbbar shows that photo x is highlighted, and I click shift+left/right or shift+mouseclick, then the selection should start from the photo that was highlighted to the one that I click on, NOT from the last photo that was clicked on with the mouse!