MarkdownPad http://markdownpad.com/ is neat and does the preview thing, split screening your editing. (requires Microsoft .NET Framework 4 Client Profile, which it comes with and installs if you don't already have it. Windows XP, Vista, 7, and 8.)
Dillinger. It's open source, so you can also run it locally or on your own server. It's also a web-app, so it's cross-platform, too, of course. http://dillinger.io/