See http://meta.stackoverflow.com/questions/19756/how-do-comments-work
Specifically the last sentence of:
##How can I format and link in comments?
Comments can be formatted with a subset of Markdown: bold (
**bold**), italic (_italic_or*italic*), bold italic (***bold italic***or___bold italic___) andcode(`code`) are allowed.
URLs will be automatically converted into actual links. Links are also allowed by using the Markdown syntax
[link text](http://myurl). However, the two methods cannot be combined in a single comment.