UPDATE 2016: Somewhere between July 2015 and January 2016 the printing feature request that I wrote about in 2014 was removed. The original answer is below, with the relevant links changed to the latest working versions in the Web Archive:
Original 2014 Answer
Printing in Sublime Text is a feature that has been requested for about 4 years (as of 2014), with 1600+ supporting votes and 160+ comments in the discussion below. For something around 6000 feature requests this is in the top 5.
See the original, still open, feature request:
Judging from the feature request (still open with no official answer) it seems unlikely that printing will ever get implemented in version 3 (as others have suggested) or in any version at all.
The discussion below this feature request may give some insight on why printing is not supported and whether or not it has a chance to get supported in the future.
Maybe if more people vote or comment it will change in the future. (See Update 2016 below for an up-to-date list of feature requests)
Some workarounds were suggested, the most popular advices were to use some other editor for printing (eg. Brackets, Atom, gedit, Notepad++) or to use some 3rd party plugins that reportedly don't work well or at all.
In general there is a strong opposition to adding printing as a native feature of Sublime Text which for such a universal functionality among text editors seems surprising, but may nevertheless shed some light on this issue.
Meanwhile, there are many free editors that can print (in fact I cannot think of a single one that couldn't) so it is easy to use some other editor whenever a need for printing arises.
Update 2016
Since the feature request described above was removed (please comment if anyone knows why) here is an up-to-date list of some other places to find more info about printing in Sublime Text:
Since the original feature request #25170 was removed, you should vote and comment in the other feature requests about printing instead.