To globally turn this on or off, go to Tools-->Options-->Selection tab, under "Selection Preview".
To see more options, click the "Visual Effects Settings" button. Now you can set previewed objects to dashed, thickened, or both, and set the "area preview" (your crossing and window selections) color and effects.
Still not happy with how it works? Click the "Advanced Options" in the Visual Effects box. Now you can choose which objects are affected by the selection preview. Personally, I exclude xrefs and objects on locked layers from the preview. Many people exclude hatches as well, since they can be a little distracting if they're large and are constantly flashing on and off.
One final tip for taking advantage of the Selection Preview effects: If you have two objects on top of each other, and hover over them, one will highlight. If you'd rather select the other, use CTRL+Space. This cycles through all objects available for selection. I find this to be the biggest advantage of the selection preview.
For the command-line fans out there, here are all the system variables that control the above-referenced effects: