How can I execute a single query in SQL Server Management Studio?

Highlight the query you want to run, then F5.

Since this was originally asked, DevArt has added this functionality to their SSMS add-on . After installation, press Ctrl-Shift-E to execute the statement block under the cursor.

The usual Shift + Arrow or Shift + PgUp / PgDown that apply to most or all Windows apps...

Then I use Ctrl + E to execute

I did some searching and was unable to find any keyboard shortcuts for executing individual lines in SSMS. There is a reference online though.

http://msdn.microsoft.com/en-us/library/ms174205.aspx

Personally I just highlight the row in question (Shift + End or Shift + ↓, etc.) and hit F5.

Ctrl + E works just as well on a Mac.