I've seen comments linking to other SE questions where the comment name is shown instead of just a meaningless hyperlink. How do I do that?
You make a link with descriptive text like so:
For example, I can give a link to this very question this way. It works in questions, answers, and comments.
A hint to finding how people do things is to do an edit of the original text (but then cancel of course). Most of the markup that works in questions/answers will work in comments/chat, too.