You can use some of excel's constants to make the code a little less cryptic:
Selection.SpecialCells(xlCellTypeFormulas, xlErrors).Select
And there are actually some problems when the selection is a single cell. The
..specialcells stuff will look at the entire sheet.
Your code could be a little more robust:
Option Explicit
Sub testme01()
Dim myRng As Range
Set myRng = Nothing
On Error Resume Next 'in case there are no errors
Set myRng = Intersect(Selection, _
Selection.SpecialCells(xlCellTypeFormulas, xlErrors))
On Error GoTo 0
If myRng Is Nothing Then
MsgBox "No Errors in Selection"
Else
myRng.Select
End If
End Sub