When using multiple cursors, I sometimes miss-click one (ctrl+click) and then I have to reset all my cursors and start all over again.

Suggestion: if I have multiple cursors active, clicking an existing cursor would remove it.

When I drag something to sublime while it is closed, it opens that thing in the last open window instead of a new window.

This is probably a conflict with the remember_open_files setting.

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Comments that are inside a css property aren't being recognized as having the right scope. Putting comments there is a little rare, but since it's perfectly valid CSS, it should probably be supported.

navigation {
    background-color: #333 /* darkgrey */;
}

In some other editors, when you search text, you get a small color line in the right scroll bar, so that you can instantly view the places where the text can be found, and get a feel of the density of matches.

Likewise, when viewing diffs in TortoiseGit or TortoiseSVN, small color lines in the scroll bar show places where interesting stuff happens.

Sublime Text 2 has a very cool code overview which is fairly unique on the scene. Unfortunately this code overview is mostly a zoomed-out view of the code, with no additional information.

Highlighting search matches, modified lines, pointing an arrow from some selected symbol to the place it is defined etc. could be an interesting set of new features that would uniquely leverage the code overview.