Sublime is sorely lacking when it comes to working on multiple projects.
I regularly have 15+ projects open, all of which I work on regularly, and I probably have 30+ projects that I work on regularly that I don't bother to keep open, simply because the window menu grows too long. I use the next/previous window commands to cycle, but sometimes I have so many projects open I have to use the window menu, which coincidentally seems to be randomly ordered, so it takes a long time, relatively speaking, to scan.
There is no way to quickly switch between per-window projects. I tried to write a plugin for this (giving you a cmd-P-style project switcher), but it turns out the API doesn't support switching windows; you can find a window, but focusing it doesn't do anything if it's not the current window (something I consider a bug, but the developer never responded to my bug report). You can't create new windows, either.
Some other things:
* Sublime is fast, but it could easily be faster. Large files are quite slow to open, even in ST3.
* The sidebar needs work. SidebarEnhancements is great, but not enough. There's no Git integration, for one. No mode flags. Renaming and moving files is cumbersome. No multiple selection.
* The global file search functionality is pretty bad. It opens up a new buffer, but it appends to the current one if there is one. You can only double-click on the match, not on the context lines. My wish list item is for the search results to be a live view into the matching files, so that I can actually edit within the results buffer.
* Package Control needs to be moved into the editor and become a first-class citizen. It's weird that it has to be added manually.
* Syntax highlighting per file-pattern, not extension. For example, .js.erb is an ERB template containing JavaScript, but there is no way to tell Sublime this; syntaxes can only be associated with the last extension.
* Lots of tiny things. For example, Sublime doesn't have a built-in way to filter a selection through a Unix command (eg., "sort"). Turns out process management in a plugin is awkward.
I could probably think of a bunch more.