Didn't see this reported yet, so here it goes:
EDIT: Short version
Some markdown is allowed in post comments, but it doesn't behave the same way as in questions/answers (doesn't even share the same bugs!). Imo, this comments-markdown should behave equally, esp. because most of us cannot edit comments.
Full version
If you write the following markup in a comment:
About *this*: tell me, what's this?
Or:About _this_: tell me, what's this?
Or:About *this*: tell me, what's *this*?
Or:About *This*IsIt!
it will not render correctly, but looks like this:
About *this*: tell me, what's this?
Or: About this_: tell me, what's this?
Or: About this*: tell me, what's *this?
Or: About *This*IsIt!
while this is expected (and works on questions and answers):
About this: tell me, what's this?
Or: About this: tell me, what's this?
Or: About this: tell me, what's this?
Or: About ThisIsIt!
If you end with a comma, dot, exclamation mark, question mark or space, it will render correctly. It goes wrong with colon, semi-colon, any alphabetic character. I haven't tried other combinations yet. Same goes wrong for bold.
I came across it in the second comment to this answer, fixed it with a space. I have this quite often and find myself deleting and resubmitting. Can this be fixed the same way it works with normal posts?
\p{L}
(letters) is different from\p{P}
(punctuation) in regular expressions. Frankly, I don't see why you are not considering them differently :)