See http://meta.stackexchange.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][2]: **bold** (`**bold**`), *italic* (`_italic_` or `*italic*`), ***bold italic*** (`***bold italic***` or `___bold italic___`) and `code` (<code>\`code\`</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][3] be combined in a single comment.**

  [2]: http://blog.stackoverflow.com/2010/01/new-improved-comments-with-reply/
  [3]: http://meta.stackexchange.com/questions/70382/in-a-comment-markdown-inexplicably-failed-to-turn-so-urls-into-links/70421#70421