My favourite feature of Markdown is... not using markdown at all! Since markdown is a superset of HTML, it is possible to simply include plain HTML code in markdown documents like so
<a href="/">Go to home</a>
Which will render as this:
I use this feature most for inserting images, because (1) I can never remember the syntax to do it in markdown and (2) it makes it easier to add additional styling around said images (like the width or height). It's actually quite nice that markdown is so simple - it's focus is on providing some simple styling and nothing more. For everything else, there's HTML.