While Viticci’s method is cool, I use a much simpler one to get inline Markdown links inserted: TextExpander.
When I type
;mdl TextExpander takes the URL I’ve previously copied and does this with it:
The cursor gets inserted where I can type the text that should be linked. It’s a little backwards, but I’ve learned to think about the URL first, with the text second. It’s fast, easy and works in TextExpander-equipped iOS apps, too.