How can I emulate Vim's * search in GNU Emacs?

Based on your feedback to my first answer, how about this:

(defun my-isearch-word-at-point ()
  (interactive)
  (call-interactively 'isearch-forward-regexp))

(defun my-isearch-yank-word-hook ()
  (when (equal this-command 'my-isearch-word-at-point)
    (let ((string (concat "\\<"
                          (buffer-substring-no-properties
                           (progn (skip-syntax-backward "w_") (point))
                           (progn (skip-syntax-forward "w_") (point)))
                          "\\>")))
      (if (and isearch-case-fold-search
               (eq 'not-yanks search-upper-case))
          (setq string (downcase string)))
      (setq isearch-string string
            isearch-message
            (concat isearch-message
                    (mapconcat 'isearch-text-char-description
                               string ""))
            isearch-yank-flag t)
      (isearch-search-and-update))))

(add-hook 'isearch-mode-hook 'my-isearch-yank-word-hook)

The highlight symbol emacs extension provides this functionality. In particular, the recommend .emacsrc setup:

(require 'highlight-symbol)

(global-set-key [(control f3)] 'highlight-symbol-at-point)
(global-set-key [f3] 'highlight-symbol-next)
(global-set-key [(shift f3)] 'highlight-symbol-prev)

Allows jumping to the next symbol at the current point (F3), jumping to the previous symbol (Shift+F3) or highlighting symbols matching the one under the cursor (Ctrl+F3). The commands continue to do the right thing if your cursor is mid-word.

Unlike vim's super star, highlighting symbols and jumping between symbols are bound to two different commands. I personally don't mind the separation, but you could bind the two commands under the same keystroke if you wanted to precisely match vim's behaviour.

There are lots of ways to do this:

http://www.emacswiki.org/emacs/SearchAtPoint