Having measured a bunch of 0.1% smd metal film resistors lately for a decade box project, I see results similar to Dave's. I had resistors from Vishay/Dale, RCD, Bourns, and Panasonic. I had 500 each of 3 different values from Bourns, 2 values fit the +/- 0.05% but one value had 17 out of 100 tested that were out of tolerance. (see my post http://www.eevblog.com/forum/index.php?topic=5174.msg67576#msg67576
) The Vishay/Dale and Panasonic also easily fit the +/- 0.05% range. I had 500 each of 3 different values from RCD. They barely used +/-0.02% very impressive.
As far as selective picking from production runs to achieve the tolerance ranges being a myth or not, my OPINION fwiw;
Resistors that are manufactured by a process that allows trimming to spec after the initial manufacture process (laser trimmed metal film as an example) will show the Gaussian distribution. There is no reason for picking ones to reach a certain tolerance because the active trim process trims it to tolerance. (there may still be selective picking of these for the 0.01% tolerance. I don't know how precise the active laser trim systems go) In this case it is myth.
Resistors that are manufactured by a process that does not
allow adjustment after the initial manufacturing (carbon composition as an example) selective picking for tolerance may be the only viable method if the initial manufacturing process can not achieve the desired tolerance. In this case it would not be myth.