To add to the info about using the Pen tool: if you've ever worked in Illustrator it is very similar. You click on the pen tool, then click to set anchor points as you create a path around the object. Be sure that up at top in the Options bar, you will see three icons towards the left, make sure the middle one with the pen icon is created because you want to create a Path around the object, not a vector shape. As you click an anchor point you can drag out the handles to help reshape it. Connect your path's ends just like you do with using the lasso or polygon lasso. Now, go to the Tools palette and click on the Path Selection tool (looks like an arrow). Hold the mouse to bring up the direct selection tool (hollow arrow). Using this tool you can select each anchor and adjust it to improve your path. Once you've got pretty close to what you want, go to the Paths Palette (it may be behind the Layers palette, you'll see a tab at the top. If not, go to Window>Paths and the palette should come up.) Click on the thumbnail of your path, then down at the bottom there is an icon that looks like a dotted circle. Click on that to convert your path to a selection, you should see the familiar "marching ants" on your image. You can also make some adjustments to the selection by going to the Select menu and using the available adjustments (like if your selection edges extend a little into the background, choose Contract, and put in the number of pixels, start with a very low number).
Note that if you decide your selection is too rough or uneven, you can go back to the Paths palette and click on the icon that looks like a circle with a line coming out of each side with dots (actually anchor points) spaced along it. This will convert the selection back to a path, and you can adjust the path some more, then click back on the convert to selection icon and make it a selection again.
Now you have a cleaner, tighter selection and you can cut that out and place it on a different background or whatever you'd like to do. Lots of people don't know about the Pen tool and how well it works for making clean selections. And don't get frustrated, it does take a little practice.