Dear Lagerbaer, first, this is an inorganic chemistry question. Chemistry is a subset of physics but it probably has special servers with questions and answers.
Second, one may get a rough idea about the oxidation numbers by your method but it's not universally valid. The oxidation number of an atom depends on the molecule in which the atom is incorporated. The "shape" of the atom (and its electron shells) in a molecule depends on and is also influenced by the other atoms.
By the way, I think that both parts of this sentence
I understand the 6: Give up all s electrons to reach Ar configuration I also understand the -2: Obtian two electrons to complete the 4th shell.
had bugs. I guess you meant that the oxidation number 6 is achieved by giving up all 4s and 4p electrons (rather than "all s electrons": 4p is not s) while -2 is obtained by getting two electrons to complete the 4p6 shell - which will not yet complete 4d and other 4th shells.
At any rate, in principle, you may get any oxidation number between the minimum and the maximum value. And the minimum and maximum values usually have an explanation of the kind you offered for +6 and -2.
The more electronegative the partner atoms will be, the higher (or more positive or less negative) the oxidation number of an atom will be. So there's no reason why it shouldn't happen that the partner atoms in the molecule will only remove or add a subset (a priori, any subset) of the removed or added electrons that you discussed in the case of +6 and -2. One has to check individual molecules to figure out whether a particular oxidation number is realized somewhere.
Selenium's oxidation numbers
In particular, selenium belongs to Group 16 - Oxygen, Sulphur, Selenium, etc. Their oxidation number is -2 unless they're combined with more electronegative elements - namely Oxygen or halogens. If they are, they may possess some positive oxidation numbers. To see that your list is the right one, one would have to go through all possible compounds - or at least all possible "neighborhoods of a Selenium atom" - and list all possibilities.
In principle, such things may be calculated from many-body quantum mechanics (assuming that we have a good enough definition of the oxidation state - it depends on some conventions). However, chemists don't do such things - instead, they learn many cases and acquire some experience.