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You don't have to allow raw HTML in your Markdown. It's just nice when you have trusted input (e.g. writing a blog).

If you don't allow raw HTML, markdown doesn't support underline. I've run into this more than once with users.

I guess that's a feature. Underlines on the web usually denominate a link, so offering underlines for non-links would just confuse readers needlessly.

(inb4 "But my use-case is different." Yes it is, but I'm talking about the web in general.)

To quote rule #10 of Butterick's Practical Typography[1][2]:

Never use underlining, unless it’s a hyperlink.

[1] http://practicaltypography.com/summary-of-key-rules.html

[2] http://practicaltypography.com/underlining.html

Users want what they want. I'm using markdown for a question text within an Android questionnaire system, and my users are MDs who don't like to be told "no, underlining is a bad idea", so our markdown is littered with <u></u>

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