To quickly select all objects from a given layer you can use the QSELECT or FILTER commands and choose the layer from a layer list. Or - in newer AutoCAD versions - use the command SELECTSIMILAR and pick a sample object.
But there is a quicker way - you can use a simple macro which selects all entities in the same layer as the layer of a picked entity (you can also pick nested objects and multiple objects/layers). The SELLAY.LSP macro can be found on Download or just type in:
(defun C:SELLAY ( / e lay)
(setq e (nentsel "Select entity on a layer: "))
(if e (ssget "_X" (list(cons 8 (cdr(assoc 8 (entget(car e))))))))
)
Load the LSP file with APPLOAD and then anywhere AutoCAD prompts to "Select objects" just type 'SELLAY (or 'SELLAYS for multiple layers).
If you enter SELLAY (or SELLAYS) as a primary command (on the Command: prompt), the objects will be selected as a grip selection set (for subsequent command). If you grip-select a group of objects before running SELLAY, only objects from this preselection set will be selected/filtered (not from the whole drawing).