@Scott: upvoted. As I said, I don't think this feature is likely to be implemented, but there's no harm in trying. One thing that would help is if you edited your feature-request to explicitly describe the desired behavior. Should there be a preview button (like there is here) or should it be a live preview (like the Markdown WMD, but it would have to be new javascript which reflects the limited markup allowed in comments)? Should the preview appear above or below the comment input box (I would say above)? Another thing that would help is if you explain what kinds of problems people are having and link to explicit examples (or produce an example on the feature-request itself). Note that Fog Creek has said that if a feature-request is very general (applies to S[OFU] as well as SE), then they will wait for the SO team to implement it rather than doing it themselves. Though a comment preview feature-request hasn't appeared on meta.SO, comment editing has, and it is [status-planned]. If we feel like being able to edit comments is sufficient, then we should be pushing the SO team rather than the SE team.

If you have an account over there, and 15 rep, go upvote it!

Comments on the other hand are forced to be very simple. The only markup is italics and bold, they are limited to 600 characters, and they don't move the question around or call attention to it in any way. I admit that sometimes when I see how a comment turns out, I don't like something about it, so copy the text, delete the comment, and post it again. This is mildly annoying, but I don't think it warrants adding a preview for comments feature. Unless a feature is really helpful, it feels like feature creep to me.