I have a couple example posts I'm using to test out my new site design and so this bug is the result of a rather contrived post in Markdown. Still it seems it should work. I have the following:
* Sushi * Crackers * Beer
1. Get Up 2. Read Blogs 3. Shower
The preview for that Markdown will place all the items in a single unordered list with bullets preceding each. Additionally it puts blank lines between Crackers and Beer and Get Up and Read Blogs. As I say it is a contrived example and probably not something most people would ever try to do in a blog entry, but it may be indicative of other issues with the list handling.
Interesting test case. I confirmed that the issue is in the Markdown filter itself. So I guess this should probably go to John Gruber to see if he thinks it's something worth fixing in the script.
Incidentally I notice that MarsEdit has 1.0 of Markdown, but 1.0.1 is the latest on the Markdown home page: