This question of how to format comments comes up periodically, and it is difficult to respond to in the comments section because if you don’t escape the tags wordpress just processes them and doesn’t show them. This isn’t intended to be a comprehensive tutorial, but to give a bit of a primer on the tags you might most often use.
I’ll show the effect first, and then I’ll show a snapshot of the text used to get the effect:
This is quoted text.
This is bold.
This is italic.
This is a hyperlink.
Here is what the code for the above looks like:
Update (H/T OKRickety): The site http://htmledit.squarefree.com/ allows you to verify the formatting of your comments before submitting them.