I like using npm scripts to watch any changes to files and 'livereload'. Sometimes I code directly in Chrome's console. Another thing I sometimes do is use Sublime's build script 'Tools > Build' or 'cmd + b'. To enable this, go to 'Tools > Build System > New Build System' and enter the below:

  "cmd": ["/usr/local/bin/node", "--harmony", "--use-strict", "$file"],   
  "selector": "source.js"   

These files are saved (on OSX) to ~/Library/Application Support/Sublime Text 2/Packages/User

Now you can do 'cmd + b' and see the output of your code.