I can link to many Stack Exchange sites with syntax like
[math.se]. Now that MathOverflow is a member for Stack Exchange is there a similar markdown link?
Site-specific magic links take the site URL name add, ".se" and put the entire thing in square brackets.
So, if the site URL is cooking.stackexchange.com, you get [cooking.se] which, in comments and chat (but not in posts), will convert to a link.
Now, Math Overflow is mathoverflow.net but there is a redirect to it from mathoverflow.stackexchange.com, which gives you the information you need so, as animuson said, the magic link for Math Overflow is [mathoverflow.se].