When the Unity3D authoring tool shows warnings or errors about a line of code, you can double click the line in the Unity console to open the specified file in an external text editor.
In TextMate, BBEdit, Smultron, and MonoDevelop the specified file opens with the cursor at the specified line. This is not the behavior in Sublime Text 2. It would be very useful to include this behavior in Sublime Text, I'm assuming that the line number is passed as an argument in the open file event.
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