If you are concerned about speed, it might be worth adding this line to your vimrc as well. This way, ctrlp will keep its cache (stored by directory), and you only need to rebuild it when you create new files.
"Keep caches between sessions - f5 to refresh
let g:ctrlp_clear_cache_on_exit = 0
I'm not too familiar with Sublime, but I know that there are a few clones of Goto Anything for vim. Personally, I like CtrlP ( https://github.com/kien/ctrlp.vim/ ) since it is both very usable and written entirely in vimscript (so I can use it on servers without installing anything extra). I think it replicates most of the features of Goto Anything.