I get the need to separate comments from answers, but I don't get why you can not use paragraphs in the comments. Bring good grammar to comments!! (Please?)
I don't think paragraph formating should be allowed in comments. You shouldn't need it if you are using comments for there intended purpose. If you need more than 1 paragraph it should be an answer.
Some formatting options are allowed i comments.
**text** or __text__ = Bolding = text
*text* or _text_ = Italics = text
= Code Formatting = text
[example](http://example.com "title") Inline links with title and text
- http://example.com plain old links
The creators of this network of Q&A sites are always cautious about adding features that might encourage conversation instead of answering questions. "We don’t want Stack Overflow to turn into a social networking site for chatty cathys, so there’s only so far we will go in supporting pure conversation." Adding newlines to comments has been asked before and declined, and while I understand you (and sometimes want them too, certainly here on meta), I think we should not hope too much for them.
You can find much more discussion on the features of this site and others in the network on the general Stack Overflow Meta site.