Take this image for example:
How would I then go and select more of the rabbit after I made that leg selection up into its body?
Your question is flawed when referring to Adobe Illustrator. "How would I then go and select more of the rabbit after I made that leg selection up into its body?" In Illustrator you are not "selecting" the rabbit, you are drawing a path, making a line.
To continue a line you have already started click on the point that you want to continue drawing from. Here is a good tutorial: http://vector.tutsplus.com/tutorials/tools-tips/illustrators-pen-tool-the-comprehensive-guide/
This is what the icon will look like when you move the cursor over an end point: 
or 
If the path has been closed, that is it has created a complete shape with no open end points, you will need to delete an anchor point to continue drawing.
Adobe Photoshop is a bit different, but the skills learned in Illustrator translate very well. Here is a good tutorial on using the pen tool to make selections in Photoshop: http://www.photoshopessentials.com/basics/selections/pen-tool-selections/
And here is a tutorial for drawing shapes in Photoshop using the pen tool. http://help.adobe.com/en_US/photoshop/cs/using/WSfd1234e1c4b69f30ea53e41001031ab64-73a0a.html
To connect to an existing open path, click one of the end points with the Pen Tool.
