I tried using Markdown to add a link to a checklist item in Trello, but it doesn't work.
Is there any way to do this?
It would appear that you cannot create a clickable link in a list item. However, you can create a clickable link in the Description area (back of card) by simply putting in a well formed URL, such as http://google.com And you could create a list of such links using Markdown syntax. Start each line with either an asterisk or a number followed by a period.
Of course you could also Use Markdown Syntax for an inline link.