Josh Earl's SBT tips most recent e-mail answered it, I think:
"Sublime does a decent job of guessing what syntax highlighting to apply when you open a file, but it can't quite read your mind. (Although I'm thinking of submitting a UserEcho request for ST4 ... anybody with me?)
So it has no way of knowing that you want .txt files to always open with Markdown highlighting.
Fortunately, there's a simple fix: Sublime allows you to specify what syntax to use for a given file extension.
To force Sublime to open all .txt files with Markdown highlighting, open a file with a .txt extension, then click View | Syntax | Open all with current extension as ... | Markdown."