How Do I Setup SublimeREPL with Anaconda's interpreter?

In your Packages/User folder, create SublimeREPL/config/Python/Main.sublime-menu with the following contents:

[
    {
        "id": "tools",
        "children":
        [{
            "caption": "SublimeREPL",
            "mnemonic": "r",
            "id": "SublimeREPL",
            "children":
            [
                {
                    "caption": "Python",
                    "id": "Python",

                    "children":[
                        {
                            "command": "repl_open",
                            "caption": "Python - Anaconda",
                            "id": "repl_python",
                            "mnemonic": "p",
                            "args": {
                                "type": "subprocess",
                                "encoding": "utf8",
                                "cmd": ["/path/to/Anaconda/python", "-i", "-u"],
                                "cwd": "$file_path",
                                "syntax": "Packages/Python/Python.tmLanguage",
                                "external_id": "python",
                                "extend_env": {"PYTHONIOENCODING": "utf-8"}
                            }
                        },
                        {
                            "command": "repl_open",
                            "caption": "IPython - Anaconda",
                            "id": "repl_python_ipython",
                            "mnemonic": "p",
                            "args": {
                                "type": "subprocess",
                                "encoding": "utf8",
                                "autocomplete_server": true,
                                "cmd": ["/path/to/Anaconda/python", "-u", "${packages}/SublimeREPL/config/Python/ipy_repl.py"],
                                "cwd": "$file_path",
                                "syntax": "Packages/Python/Python.tmLanguage",
                                "external_id": "python",
                                "extend_env": {
                                    "PYTHONIOENCODING": "utf-8",
                                    "SUBLIMEREPL_EDITOR": "$editor"
                                }
                            }
                        }
                    ]
                }
            ]
        }]
    }
]

In the "cmd" lines, change /path/to/Anaconda/python with the actual path to your python executable you want to use. If you're on Windows, either use a single / as path delimiter, or double \\:

c:/Anaconda/bin/python.exe
# or
c:\\Anaconda\\bin\\python.exe

Save the file, and you should now have Tools -> SublimeREPL -> Python -> Python - Anaconda and IPython - Anaconda menu options to start REPLs with the Anaconda interpreter. If you have multiple versions of Python installed (for example, 2.7 and 3.3) you can just duplicate the children contents and alter the caption and cmd paths appropriately.

With the caveat that this is an old question with an accepted answer that makes your problem go away, it doesn't directly answer your question. (I would have made this a comment but I don't have sufficient reputation.)

The reason your user settings line doesn't work is because you're specifying the path incorrectly. You are not including a slash before Users, so it's a relative path and not absolute, and you are also giving the full path to the Python binary, not the directory containing the binary. Rewriting what you have to:

{
    "default_extend_env": {"PATH": "/Users/anton/anaconda/envs/py3k/bin:{PATH}"}
}

should solve your problem. Furthermore, I believe it is best practice to copy the contents of the Default SublimeREPL settings file to the user settings file, and then to add the default_extend_env line at the end.