Favourite Option: When you close the editor, it just shuts down, saving all your buffers and restoring them when you reload. That means you can close the app, reboot your computer, whatever, and the edits you've been making aren't lost, and you aren't bugged for filenames.
Definitely a 'why don't all apps work like this?' feature.
Yeah, if you've been extensively using Lion for document editing, this may not seem like a big deal anymore, but in Sublime it works just as well on Windows too.
Definitely a 'why don't all apps work like this?' feature.