The editing help page that you're looking at is for the most part only relevant to post bodies, the Comment Formatting bit at the end is what you need. And, you'll see that comments use a very limited sub-set of markdown.

You can also see the basics by pressing the "help" link that is available under the Add Comment button.

So, the style options you have are bold, italic and code.
Personally, I'll sometimes use code to quote someone in a comment, depends on the context, etc.

And, since you ask, a blockquote is a just quote formatted in to a separate block.

They look something a bit like this.

The editing help page that you're looking at is for the most part only relevant to post bodies, the Comment Formatting bit at the end is what you need. And, you'll see that comments use a very limited sub-set of markdown.

You can also see the basics by pressing the "help" link that is available under the Add Comment button.

So, the style options you have are bold, italic and code.
Personally, I'll sometimes use code to quote someone in a comment, depends on the context, etc.

And, since you ask, a blockquote is a just quote formatted in to a separate block.

They look something a bit like this.