Ironically, this is a feature and not a bug. Sublime Text 2 calls it a preview. You are presented with the contents of a file without actually opening the file. This is a confusing concept for new users but is certainly helpful. A tab for the preview should appear as soon as you begin editing the file or when you double-click on the file in the sidebar.
This has been discussed more in depth on the ST forum in “2 OS X Bugs”.
Personally, I believe this should be more clear. I’ve proposed some additions to the preview feature that can be found in “I Present To You: The Sublime Manifesto”.
Note: As of Build 2198 (released in early June) there is a new setting:
// Preview file contents when clicking on a file in the side bar. Double
// clicking or editing the preview will open the file and assign it a tab.
"preview_on_click": true
Setting preview_on_click to false will disable the single-click preview while double-clicking will still open the file. This setting should clear up some confusion.