When adding my first comment it was absolutely not clear what markup is available to me. Having asked and answered questions (wow, cool, markdown), the first time I filled a comment I stupidly expected that markdown will also be supported for comments. But, when submitting, surprise, all markup is gone, and the comment looked real bad. Plus, ouch, couldn't go back to edit the comment.
As pointed out elsewhere, editing comments presents other problems (like downstream comments not making sense anymore), so I would agree on disallowing comment editing.
A basic usability principle is to always take every opportunity you have to provide as many and and as much visual cues and feedback to the user as is possible, to help with the task at hand -- different users pick up on different cues!
For the case of comments, there are at least these opportunities to increase instant user feedback:
- it is very easy for users to either not know about or forget that comment formatting is different than q/a formatting. A preview will make that point visually and immediately obvious, thus avoiding the surprise of losing all markup on submit.
- when typing text, it often happens (for me at least) that I do not see typos immediately when staring at the text I have typed, but when I see the text presented in a slightly different way (e.g. the preview) the typos stand out clear, so I can correctthem before I submit.
- should you add support for any markup in comments (to be same as for q/a, or a very small subset thereof) a preview would obviously be essential to remind you of which markup works and which doesn't -- in addition, for this I would greatly appreciate a correspondingly reduced formatting bar, even if this were to be only for Bold and Italic.
For me, preview for comments is a no-brainer!