Is there any way to select column with keyboard shortcut and expand selection till the end of each line?
Currently, when cursor reaches the end of the line it jumps to the beginning of the next one.
How can I avoid this behavior without using mouse?
If I've understood your question correctly, you can do that with the following keys (example with OS X keybindings):
The related keybindings for all OS's: http://www.sublimetext.com/docs/2/column_selection.html