If I want to quote a reference in an answer on this site, I use the syntax [Here][1] followed at the end of the answer by [1]:URL.
Here is an example.
But this doesn't work in the comments. What should I do instead ?

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You should use the following format:

[text](link)

e.g.

[Google](http://www.google.com/)

See here.

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4  
Georges: In fact, the same format works in posts, comments, as well as in chat. – Srivatsan Jan 11 '12 at 18:06
    
Let's see. Yes, it works: fantastic! Thanks a lot to both of you, Zev and @Srivatsan, for helping me so quickly. I'll use that format everywhere now. – Georges Elencwajg Jan 11 '12 at 18:42
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By the way, this does not work on mathoverflow, does it? How can you do it over there? – Rasmus Jan 13 '12 at 8:15
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@Rasmus: you can't. (Prettified) Hyperlinks in comments is not supported in the version of StackExchange software running on MathOverflow. You should instead just paste raw links into the comment. – Willie Wong May 21 '12 at 15:10
    

I will add that this information is shown when you click on "help" while writing a comment. (See the picture below. Similar picture can be found here.)

Comments use mini-Markdown formatting: [link](http://example.com) _italic_ **bold** `code`. The post author will always be notified of your comment. To also notify a previous commenter, mention their user name: @peter or @PeterSmith will both work. Learn more.

screenshot with comment help

If you then click on "learn more", you will get to the section of the MarkDown help concerning comments: http://math.stackexchange.com/editing-help#comment-formatting

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