To make a link in a comment user the [text](url) syntax. (And, of course, you can use simply bare URL - but I assume you want something nicer.) The same syntax is possible in posts. (Although in posts there are other possibilities how to use links. Moreover, when composing or editing a post, you can insert a link using the built-in editor.)
For example, the following syntax works both in a post and in comments:
Link to a question on meta: [Hyperlink in a comment?](https://meta.mathoverflow.net/q/5410) This looks probably slightly better than a bare URL: https://meta.mathoverflow.net/q/5410
Link to a question on meta: Hyperlink in a comment? This looks probably slightly better than a bare URL: Hyperlink in a comment?
In the first comment under this post you can see how this looks in a comment.
See also:
- How do I format my posts using Markdown or HTML? in the help center - specifically the section "Comment formatting"
- Inline links in comments (Meta Stack Exchange)
- How do you cite a reference in a comment? and other posts linked there (Mathematics Meta)
- How do comments work? (Meta Stack Exchange) - the section "How can I format and link in comments?"