<p>See <a href="http://meta.stackexchange.com/questions/19756/how-do-comments-work">http://meta.stackexchange.com/questions/19756/how-do-comments-work</a></p>

<p>Specifically the last sentence of:</p>

<blockquote>
  <h2>How can I format and link in comments?</h2>
  
  <p>Comments can be <a href="http://blog.stackoverflow.com/2010/01/new-improved-comments-with-reply/" rel="nofollow">formatted with a subset of Markdown</a>: <strong>bold</strong> (<code>**bold**</code>), <em>italic</em> (<code>_italic_</code> or <code>*italic*</code>), <strong><em>bold italic</em></strong> (<code>***bold italic***</code> or <code>___bold italic___</code>) and <code>code</code> (<code>`code`</code>) are allowed. </p>
  
  <p>URLs will be automatically converted into actual links. Links are also allowed by using the Markdown syntax <code>[link text](http://myurl)</code>. <strong>However, the two methods <a href="http://meta.stackexchange.com/questions/70382/in-a-comment-markdown-inexplicably-failed-to-turn-so-urls-into-links/70421#70421">cannot</a> be combined in a single comment.</strong></p>
</blockquote>