I often write little tokens or pieces of code in comments, and I never seem to remember the different syntax for links. Being able to use Ctrl-K and Ctrl-L would be a great asset here.
And while you're at it, you may want to enable Ctrl-B and Ctrl-I as well ;).
EDIT: apparently, this has been asked before many times and has been declined once already. If peer pressure and/or the community's wishes have value, I'd say leave this open and hope for a final "yes of course, this has been asked repeatedly for almost 3 years, we'll implement this in the next release". (bolded with Ctrl-B ;).
PS: there used to be a "vote for feature" thingy. The sum of all the votes for this feature is way above hundred. Doesn't that count for something?