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You're definitely not alone. It's cross platform, so it's not quite at home on OS X, it just feels wrong somehow. Pity really.

Anything specific? I haven't noticed noticed anything very much amiss with Sublime. (It's as native feeling as Chrome, say, or indeed TextMate.)

Agreed. I use ST2 on windows at work, and on OSX at home. I think it is great on both.