I created a full-featured Markdown editor for Windows called MarkdownPad (http://markdownpad.com), and it supports full live HTML preview:

MarkdownPad is lightweight (only 1.5 MB, not including the .NET 4 Framework), and offers several great features:
- Everything is customizable. Fonts, colors, sizes, and even the CSS stylesheet of the rendered HTML. The default CSS is beautiful and minimal, and will make your HTML documents look great.
- Easy HTML export. You can export the full document as HTML, or just selected text.
- Distraction-free Mode. This full-screen mode turns your whole monitor into a blank canvas for you to get some serious work done.
- Frequent updates. I’m always improving MarkdownPad, and love hearing feedback from users.
- Built natively for Windows. MarkdownPad was built from the ground up exclusively for Windows. It uses the latest Microsoft .NET 4 and Windows Presentation 4 Frameworks (translation: it’s all kinds of shiny on the inside).
And I even wrote this post in MarkdownPad 🙂