When you paste in the URL of another Bio.SE question into your question body, it formats itself nicely. Comments don't do this. Why not? Is there a suggested way format links to other questions in comments?
Here's a screen capture:
The auto-prettification of links has a few non-intuitive restrictions, I never know when it will kick in. In addition to not working in comments, there are also restrictions on the number of links, and those are different for internal and external links. So if you add many links, at some point it will stop working as well.
For comments I just manually format them as
[pretty title](link url), but that is not really intuitive for users that aren't very familiar with markdown formatting, especially as there is no preview.
I see no (non-technical) reason why this should not be enabled on comments, though. I found a post by Jeff Atwood on meta that explains that it would be rather expensive to do this in comments . I don't know if this is still the case as the answer is a bit older.