When I use RubyMine, I start the service through the terminal and can see the running logs. Some of the logs display the execution at a certain line in a certain file. In RubyMine, you can click to directly jump to the corresponding location. I don’t know if there is a plugin in ST4 that can do the same.
If corresponding output panel specifies a file_regex setting, jumping is possible via F4 and shift+F4.
Example:
"file_regex":"^([^:]+):([0-9]*):?(.*):?(.*)",
Build systems do use something like that.
It’s also possible for this to work when using a normal standalone terminal application.
e.g. in iTerm2, if I ⌘-click such a path, the file will open in ST, including the line-number suffix working. This obviously depends on OS-level file-extension associations and the terminal’s own settings (in iTerm2, the various settings relating to this are called Semantic History).