To simplify @horatio's above answer:
When you choose a Selection tool (Marquee, Lasso, Quick Selection tool)
you will find options for adding/subtracting/intersecting with an existing selection in the Tool Options Bar(up).
In this screenshot I am first creating a simple square selection with the "New selection" option of the "Rectangular Marquee Tool".
After I have the existing selection I am subtracting a part from it using the "Subtract from selection" option of the "Rectangular Marquee Tool".
UPDATE - 25/02/2013:
What the asker, is actually looking for is something like the Pathfinder Tool in Illustrator, but for selections not for Shapes... he is trying to use the Selection Tool in a matter that the Shape Tool usually works,
A kind of workaround:
First work with the shapes you are trying to alter then recreate the selection from the shape.
Since Photoshop CS6 there are some similar options when creating a new shape(see screenshot). So your workaround here would be something like this:
Again, first alter/modify your shape then remake your selection from that new modified Shape.