Most likely, you do not have the bin directory in your home directory ( ~ ). Use this command instead:
sudo ln -s "/Applications/Sublime Text 2.app/Contents/SharedSupport/bin/subl" /usr/bin/subl
This will create a symlink in the /usr/bin system directory, which is already in your path. You need to use sudo because it is a system directory, i.e. you need an administrator password to execute the command. Be very careful when using sudo, as it gives you write access to everything, and you could easily destroy your system if you started, for example:
sudo rm -rf /usr /bin/subl
which will destroy the entire /usr hierarchy (note the space between /usr and /bin/subl ?).
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