“Personalized” escaped characters for different SE sites

On math.SE, for instance, suppose one wants to TeX {1,2,3,...,n}. Then to do this in LaTeX, one only needs to type $\{1,2,3,...,n\}$, but because SE markdown does not escape text inside of the $delimiters, one is forced to type $\\{1,2,3,...,n\\}\$ to escape the backslash. Similar problems exist with asterisks and underscores, which many times need to be escaped in order to avoid strange italicized text and missing subscripts. I realize that not all websites would want text in between dollar delimiters escaped, so is it possible to have it enabled or disabled on certain sites?

-
I don't necessarily agree that this should be implemented, but +1 for an interesting question. –  Pops Sep 21 '10 at 20:26
Thanks, old boy! –  Harry Gindi Sep 21 '10 at 21:03
I do fully agree. The only problem may be that TeX typed before the implementation may suddenly look weird... –  Tobias Kienzler Sep 22 '10 at 11:40