markdown.pl (the reference implementation of Markdown) supports intra-word-empasis, without the magical blank character you propose:
$ echo "Ex*amp*le" | perl markdown.pl
This is disabled in the Stack Overflow version of Markdown, because it's annoying more often than not.. You have a very few cases where you want
my_example_variable to display as myexamplevariable, instead of my_example_variable
If you really want intra-word emphasis, just use the relevant HTML tags as Shog9 suggested:
I really recommend against using the Unicode zero-width-space character... The equivalent
​ escape sequence seems reasonable, although it's less obvious and harder to read than simply using the HTML tags.