functions.php

<?php

// http://michelf.ca/projects/php-markdown/
require_once 'markdown.php';

/**
 * parses markdown before printing on the page
 * 
 * you could put this in MarkdownCommentParser::comment
 * if you wanted to save off the html
 */
add_action('get_comment_text', function($comment) {
  return MarkdownCommentParser::parse_comment($comment);
});

/**
 * Acts as a placeholder for storing
 * the original comment's text.
 */
class MarkdownCommentParser {
  
  public static $comment;
  
  public static function comment() {
    return self::$comment;
  }
  
  /**
   * Store the comment's original text
   */
  public static function store_comment($commentdata) {
    
    // try to use original comment data
    // because of this: http://git.io/IRTh5w
    if( isset($_POST['comment']) ) {
      self::$comment = $_POST['comment'];
    }else {
      self::$comment = $commentdata['comment_content'];
    }
    
    // give the data back to wordpress
    return $commentdata;
  }
  
  /**
   * Default parsing configuration
   * 
   * @link http://michelf.ca/projects/php-markdown/configuration/
   */
  public static function parse_comment($comment) {
    $parser = new \Michelf\Markdown;
    $parser->no_markup = true;
    return $parser->transform($comment);
  }
}

// store off the comment as it came in
add_filter('preprocess_comment', array('MarkdownCommentParser', 'store_comment'), 5);

// "restore" the original comment
add_filter('pre_comment_content', array('MarkdownCommentParser', 'comment'), 15);