Sublime - much like Eclipse is extensible via 'packages' which can extend and enhance Sublime.
When I installed the CFML support it was a bit of a struggle on how best to do this but I eventually fuddled through it and got things working.
Recently I was looking to see if I could find something that supported Subversion in Sublime (we don't code on stuff not in source control do we?) :)
Digging around I stumbled on Sublime Tortoise (which I'll blog about next) but reading it's installation instructions it recommended installing Package Control.
Sublime Package Control - A full-featured package manager that helps discovering, installing, updating and removing packages for Sublime Text 2. It features an automatic upgrader and supports GitHub, BitBucket and a full channel/repository system.
Installing Package Control is easy, you simply cut-n-paste a string into the Sublime console (I didn't know it had a console!), reboot and Package Control is now available under the preferences menu.
The Package Control site contains more information about creating your own packages, etc. Hopefully as the Sublime community grows, more software will be rolled into easily installable packages.