I browsed through many discussions on comment formatting and there doesn't seem to be one suggesting both.
I suggest showing the available formatting options on the side on the comment box, or at least as tooltip on a smaller question mark like the one for answer.
Users shouldn't have to come search on meta for this very useful information.
Bold, italic, and code formatting are trivial to begin with, but I didn't realize that for URL only inline works.
The URL format also calls for reconsideration of comment preview. Even though I know there's no preview now, I still habitually look for it since it's such a wonderful feature when I write answers.