To make a line break, you have to end a sentence with two spaces.
To make a paragraph, you create a whole line between two blocks to text.
But when you create a line break, it doesn't end the formatting from the previous line like when you create a new paragraph.
Edit
Also, it seems that some examples of this bug (such as the first example which shows italics) only appear within the WMD preview and doesn't show up on the actual post itself.
Examples
Here's a method with an underscore: test_method
Here's another method with an underscore: foo_bar
[This only breaks in WMD preview]
Here's a method with an underscore: test_method
Here's another method with an underscore: foo_bar
Heres another example
Woah, I'm a new line!
Heres another **example
Woah, I'm a new** line!
Here's some code
foo = bar
Here's some `code
foo = bar`
A method/function with underscores instead of spaces: i_am_a_test_method
[This only breaks in WMD preview]