To my knowledge there is no such feature in OS X ... I've been looking for two years now. It's surprised me that no one has even written a script for it. It's the only thing I still miss from Windows.
You can select text, copy it and then paste it into a text file and then print that though.
There are add-ons like Print Selection Service that add the option to your Services menu. Unfortunately, it doesn't work with all apps...only Cocoa apps can take advantage of it.