You're missing the '/' at the beginning of your app and
/bin is owned by
root and you can't actually write to it as a normal user. As you currently have it, it would only work if your present directory was the system root. This assumes of course that the Sublime Text app is in your main Applications folder.
sudo ln -s /Applications/Sublime\ Text.app/Contents/SharedSupport/bin/subl /bin/sub
One afterthought: It's considered bad practice to change the content of
/usr/bin because any upcoming OS X upgrade may wipe the content there.
/usr/local/bin is the usual place to install user-provided binaries in, so
[[ -d /usr/local/bin ]] || sudo mkdir /usr/local/bin
sudo ln -s /Applications/Sublime\ Text.app/Contents/SharedSupport/bin/subl /usr/local/bin/sub
might be the better option.
Or (as you probably never need to run Sublime Text from within a shell script), simply define a bash alias
alias sub=/Applications/Sublime\ Text.app/Contents/SharedSupport/bin/subl
which should be added to your bash startup file to make it stick
echo "alias sub=/Applications/Sublime\ Text.app/Contents/SharedSupport/bin/subl" >> ~/.bashrc