Thanks for the reply. I do not get anything in the console and in fact just went through tutsplus.com/lesson/sublime-linter/ (found from the @sublimehq Twitter feed) and did not get anything when doing the tutorial.
I did notice at about 1:55 he goes to Command Pallette and has a ton of SublimeLinter options. My only option is to Extract Annotations so I believe that has something to do with it but I don't know how to get all the SublimeLinter options.
FWIW, I am using Win7 and the Unregistered version since I'm still trying out ST2. The only other issue I've had is changing the theme so I'm not sure if there are some things that don't work until you register or what, but didn't see anything mentioning that.