I don't know if you're using a customized version of Markdown on this site, but it behaves really strangely in the comments. For example, here is the proper behaviour on questions and answers: emphasis inside link, emphasis outside link, [brackets around link]. See below for the corresponding behaviour in comments.
Comments don't use Markdown. You can put very limited formatting in comments —
**bold** —, but even that is likely to break if there isn't whitespace before/after the highlighted word. (So you can't italicize part of a word in comments.)