By popular request, comment preview has been implemented. Take it for a test spin and let me know if you have any issues. It's all AJAX-ified to try to make sure the comment is as close to what would be posted as possible, so there could be issues with certain browsers. I admit 'testing' has been "push debug, write a comment, aaaaaaand seems to work for me".
If you have bugs, don't forget to let me know your browser / OS etc.