You can drag a folder onto the sidebar, or use the command line interface to open a folder. If you are on OS X you need to create a symlink for the subl executable http://www.sublimetext.com/docs/2/osx_command_line.html.
Thanks for the suggestion. That's definitely an improvement.
Though from what I can tell, it just adds the folder to the current project, which feels a bit odd. And having to open up Windows Explorer instead of just doing a File > Open Directory is clunky.