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. Having some description of a link is useful for the users reading the comment, too.) 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?](https://meta.mathoverflow.net/q/5410) This looks probably slightly better than a bare URL: https://meta.mathoverflow.net/q/5410

In the [first comment under this post](https://meta.mathoverflow.net/posts/comments/27526) you can see how this looks in a comment.

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See also:
 
 * Help center: [How do I format my posts using Markdown or HTML?](https://mathoverflow.net/help/formatting) - specifically the section "Comment formatting"
 * [Inline links in comments](https://meta.stackexchange.com/q/37758) (Meta Stack Exchange)
 * [How do you cite a reference in a comment?](https://math.meta.stackexchange.com/q/3455) and other [posts linked there](https://math.meta.stackexchange.com/questions/linked/3455) (Mathematics Meta)
 * [How do comments work?](https://meta.stackexchange.com/q/19756) (Meta Stack Exchange) - the section "How can I format and link in comments?"