Make sure the file is executable
Check the output of
ls -l ~/Applications/Sublime\ Text\ 2/sublime_text and make sure the file is executable.
You can just run
chmod +x ~/Applications/Sublime\ Text\ 2/sublime_text to ensure it is.
Check your path
echo $PATH and make sure that
/usr/local/bin is in there. It's probably not, so add it
Alternatively, you can just start over.
rm /usr/local/bin/subl to remove it. If this fails due to insufficient permissions,
sudo rm /usr/bin/subl instead. You need to enter your password.
Make sure you're actually executing the correct command
The instructions say to run the following command:
ln -s "/Applications/Sublime Text 2.app/Contents/SharedSupport/bin/subl" /usr/local/bin/subl
Note that the first argument (the link target) is different from yours. The file you're linking to probably doesn't exist.