Brett Kelly offers the perfect explanation:
Put very simply, instead of writing this:
I found the <strong>largest</strong> cheesecake <em>ever</em> by searching <a href="http://cheesecakefinder.com">Cheesecake Finder!
You can write this:
I found the *largest* cheesecake *ever* by searching [Cheesecake Finder](http://cheesecakefinder.com)!
Even though I'm learning HTML, I'd much rather write in Markdown. It's easier and a big time-saver.
As Brett says, go learn and be awesome.