In Markdown help - comment formatting you can read that
Comments support only bold, italic, code and links; in addition, a few shorthand links are available.
_italic_ and **bold** text,
inline `code in backticks`,
and [basic links](http://example.com).
*italics* works for italics.
In the linked help you can find more details also about shorthand links and comment-replies. (I have only copied the part releveant to your question about bold and italics.)
You can find even more details in the section of FAQ about comments: How can I format and link in comments?
Again, I will quote here only part relevant to bold and italics:
Comments can be formatted with a subset of Markdown: bold (
**bold**), italic (
*italic*), bold italic (
***bold italic*** or
___bold italic___) and
`code`) are allowed. It is not generally possible to insert line breaks in comments, though some hacky workarounds exist.
See the comments just below this post where the above syntax is tested.