Cory, I take that back. Looks like you are able to double click the line number and have the file scroll to the correct line with the error. The cursor doesn't stay in the file though, because the double click is captured by the console. Still, pretty close to what you are looking for. If you are using any build plugins such as mine the F4/double-click will only work if they have correctly mapped file_regex and line_regex.

Neville, Yes now working via F4 and shift-F4. This may have been due to a bad regular expression in my JSHint plugin and not Sublime Text 2, itself.