Symlinks are like nicknames for files or directories you want to reference. They're like telling your computer, "When I say 'John,' what I mean is 'John Jacob Jingleheimer Schimdt.'"
For the more technically minded, a symlink is the equivalent of an alias (Mac) or a shortcut (Windows) that you type at your command line. Instead of creating a copy of the file, the symlink, which is a shorter, easier to remember name, points to the full path of the file or directory itself.
#> ln -s
Creates a symbolic link (ln stands for hard link; the -s flag stands for symbolic). The symbolic link then takes two arguments: the full path to reference, and the shorter name you want to use.
#> ln -s "/Applications/Sublime Text 2.app/Contents/SharedSupport/bin/subl" ~/bin/subl
Creates a link to /Applications/Sublime Text 2.app/Contents/SharedSupport/bin/subl via the shorter bin/subl.
Now you can type
#> bin/subl filename
To open the corresponding file in Sublime Text 2.