What would be the best way to select and display featured entries? For example, if I want to choose at least 3 entries to feature in a sidebar apart from the main content?
Personally I would go with a category since you can fetch the entries for that particular category directly. With a lightswtich (I think) you need to fetch all, then run a if-statement to see which is selected.
It always depends on your needs, so there is not really a best way to do feature entries, at least if you don't give more specific info on what your exact situation is.
To have a nice overview of which entries are featured, you could add a new section (structure or channel), with an entries field to collect the entries you want to be featured.
Another idea would be to collect the feature entries in a global set using matrix. You need just a single block type, again with an entries field to make the relations.
A Matrix field or a structure section enables you to (optionally) re-order the entries to your liking.