Indeed, this is a major problem for me (I'm on OSX Lion).
Upon starting Sublime Text 2, I have no idea which window (NOT tab) is for which project. I end up closing them all and reopening... one day I'll disable "remember_open_files". Likewise, if I have five or six projects open, I have to spend a few seconds guessing which window is for which project.
A solution is to "save" the project, then the window title will use the project name. But this is a primitive solution.
Setting the window title to the full path would be acceptable, being able to customise the title would be awesome.
I'll be honest, I can't justify buying this product until this feature's available.