Well the simplest thing would be to just draw a circle around the selected entity (use CameraProject to determine where to draw, and make sure to do it after RenderWorld but before Flip.) Didn't Starcraft draw green boxes around selected units? That's a simple computery look (ie. depends on if you want a computery look.)
Ultimately this depends a lot on the look of your game. Obviously specific effects will vary in appropriateness for different aesthetics.
Ultimately this depends a lot on the look of your game. Obviously specific effects will vary in appropriateness for different aesthetics.