Sublime Text 2 and R

Open SublimeREPL's user settings like this: Preferences -> Package Settings -> SublimeREPL -> Settings - User

there set default_extend_path to point to your R installation:

{
    "default_extend_env": {"PATH": "{PATH};C:\\Program Files\\R\\R-2.14.2\\bin\\i386"}  
}

Running Tools -> SublimeREPL -> R should launch REPL as expected.

For windows system you can add a new build for R (Tools -> Build System -> New Build System) and put the following lines. Modify the path according to your R installation directory.

{"cmd": ["Rscript.exe", "$file"],
"path": "C:\\Program Files\\R\\R-2.15.2\\bin\\x64\\",
"selector": "source.r"}

You can execute the entire file by pressing ctrl+B instead of starting SublimeREPL.