A feature I'd really like is to be able to mark a specific selection as the region you're working on. Then, any command you perform will only work within that region.
This is useful when working with find, multiple selections based on words, etc. (I know about find-in-selected-region, which is awesome, but I'm talking about something more general).
For example, if I'm working on a function, I'd like to be able to select it, hit ctrl+m (or whatever shortcut), and then I can select all instances of a variable name within that function without worrying about messing up the rest of the file.
The way I picture it working, is that after hitting the shortcut, the selected region will be visibly different than the rest of the file (for example, it will look like it's on a block that's beveled out). To make it clear what is going on, the region should also have a close (x) button at the top right, like a window, so that if anyone hit the shortcut by accident, he'll know to hit that button to get back to editing the whole file.
This is a difficult feature, but it's one that I really wish I had, especially when combined with all the rest of the SublimeText awesomeness like multiple selections.