Return to Select toll shortcut?

Hitting return will allow you to select the next kind of sketch entity you want.

You may press simply "S" on your keyboard and it will make u able to select many sketch tools in sketch mode. This is also helpful in  feature mode or assembly mode.

As Jeff said, after Escaping from a sketch command you can hit Enter to re-activate it.  Also, you may already know this, but if you click and drag to place a line instead of clicking on each end then you can immediately start a new line somewhere else without a line between the two.