I couldn’t find any easy answer to this question myself when I setup custom tags for commenting on this site a while back, and Indranil is trying to figure it out as well, so I figured I’d share a brief “how to” on the subject.
The default WordPress commenting tags allowed are a, abbr, acronym, b, blockquote code, em, i, strike and strong. For myself, and Indranil (and probably many other WordPress users), there is a desire to allow users more freedom in their commenting formatting: specifically, to allow the use of lists and list items.
Whilst this used to be possible with the (deprecated) my-hacks.php file, this is advised against as the “hacks” system has changed, and chances are that file will be gone in a few releases time. The easiest way to add permitted tags is to edit the file which does the processing, kses.php. Kses is described in the file header as being a “HTML/XHTML filter that only allows some elements and attributes” — and that’s what it does.
If you open this file, located in the wp-includes directory within your WordPress installation (full path to file should be /wp-includes/kses.php), and scroll down a little way, you should see a variable $allowedtags, with an array. (For me, it begins on line 17 of the file: yours may vary.)
By following the format tags are already listed there in, you can probably figure out how it works: for many, it’s just a matter of uncommenting the appropriate tags. I can’t recall if there are options for list tags in there already, I’m sorry: if you see lines which begin with
//'li' => array(), or
//'ol' => array(), or
//'ul' => array(),
then simply delete the preceding slashes (//). Save the file, and commenting with these tags is now permitted.
If the file didn’t include those commented out lines, then simply add
'li' => array(),
'ol' => array(),
'ul' => array(),
to the array, and save.
There you have it! Of course, it’s possible to permit attributes and the like — take a look at the anchor (a) part of the array for an example of that — but for lists, that’s mostly uneccessary (so far as I’ve seen, anyway).

Heh. You should have asked me. I’ve been using kses behind the scenes for a while now. Great little script. The SF page can be found here. Although I am using the class based version instead of the function based one in wordpress. It is very nice to work with.
The following is from the class documentation
Thanks for the write-up man. Much appreciated.
Dale: Yeah, I’ve been using it ever since this WordPress site went public, so it’s been a while now, but information was still a little thin on the ground! It’s pretty snazzy.
Indranil: You’re welcome! Interesting list, there ;) Hehehe.
Nice write-up!
// Ulf Harnhammar (kses guy)
Josh
Great help! Thank you! I used your advice to figure out how and where to add in an img tag for comments. It works great.
‘img’ => array(‘src’ => array()),
Just wanted to say thanks for this write up. Really helped me out.
Oops — I also wanted to add for future readers — don’t copy and paste the code you see above because the quote marks got converted into curly quotes which will give you PHP errors. Better to hand type it in.
@oso, thanks for the tip. I’ve edited the post so that the quote marks are defined with entity codes ('), which will hopefully make it safe to copy and paste.
I send you and your visitors my best greetings.