I know this might be more appropriate at Ask Different, but as I tried adding tags there, there was no vim tag, only macvim. So I figured I might g
vim
macvim
A note to romainl's answer: aliases don't work together with sudo because only the first word is checked on aliases. To change this add another alias to your .profile / .bashrc:
alias sudo='sudo '
With this change sudo vim will behave as expected!
sudo vim