Shift key does not seem to be working with arrow keys or j/k.
x can be used to select multiple messages, but one has to hit x as many times as messages selected.
Looking for some elegant solution.
Arrow key navigation in Gmail has been changed. Now you can use arrow key or j/k without using shift. First you need to enable keyboard shortcut feature. For that open your Gmail, press shift+? for a list of keyboard shortcuts. In case if you have not enabled already, you will see 'The following keyboard shortcuts are currently disabled' just enable this and close the window.
Now scrolling up and down is simply done with the arrow up and down keys (j/k also will do same thing with and without using shift key).
Selecting or deselecting a message is x.
Select all conversations : shift+*+a
Deselect all conversations : shift+*+n
Select read conversations : shift+*+r
Select unread conversations : shift+*+u
Select starred conversations : shift+*+s
Select unstarred conversations : shift+*+t
In order to select multiple messgase at once:
None of the existing answers answer the question. Imagine scrolling through your email with arrow keys and pressing a key continuously (unlike x) to select messages and not pressing it when you don't want to select a message. Shift generally does it in most interfaces.
In Gmail, it is not possible to select multiple chunks of emails and mark checkboxes of those all multiple selected chunks at once. The only way is to select and mark emails one by one or select only a one chunk per time.
one by one selection:
Xfor checkbox mark