You can specify a scenario as a run argument, either though Intellij or at the command line:
As jhilan mentions - In Ruby the command looks like this:
cucumber path/to/file.feature:33
In cucumber-jvm, it looks like this:
-Dcucumber.options="classpath:<package-path>/<file>.feature:<line>"
E.g -Dcucumber.options="classpath:com/company/my_feature.feature:6"
To set this up in Intellij, take a look at their docs on the subject of run configurations
I know this is an old post but it's still the second highest Google result when search "executing cucumber by scenario". So I thought it deserved a more thorough answer.