There isn't an inbuilt way to clear the list, but you can do it manually by editing or deleting the file C:\Documents and Settings\Application Data\Sublime Text\Options\Session.sublime-session (for XP, the path is slightly different under Vista). The file will be recreated next time you exit Sublime Text, however.
Another option is to remove the recent files from the menu: Edit Main.sublime-menu, and remove or alter the line:
<item caption="&%I %s" command="openRecent %i" repeat="9"/>
Edit "Pane Context.sublime-menu" to change the menu that shows up on a right click on the minimap.
You can find these files via the Prefrences/Packages menu item, and then under the Category: Menus and Toolbar entry