This would be especially useful on mobile devices, where:
Cutting and pasting the title of a question and then its URL is a huge pain, because it involves switching back and forth between the comment page and the page with the question to be linked, without the aid of windows or tabs.
Have you ever tried editing Markdown on a mobile device? Moving the cursor and selecting bracket characters is not fun. And better get it right the first time, because clicking the edit button afterwards is even harder.
Userscripts aren't available on mobile.
As for Jeff's objections why it can't be done:
"Comments are processed on the fly." Look up the title once and add the Markdown that we would otherwise have to type manually. (If that ends up making the comment too long, there are lots of ways to handle it, the simplest of which is to only do the conversion when it will fit.)
"If you want this, put your links in a post, where it is already supported." That's not a very good reason. You're basically arguing that we shouldn't even have comments.
- Edit, thirteen years later!: I think maybe what Jeff meant is comments are meant to be ephemeral. Intentionally crippling comments is a feature, because it encourages us to incorporate feedback from comments into the post, as I am doing now.
