I'm looking for a Markdown module or something similar to Stack Exchange sites Markdown.
It would be great if it provides syntax highlighting for some languages.
Do you have any suggestions?
There is the Markdown filter module, which uses the files you can download from http://daringfireball.net/projects/markdown.
Provides Markdown filter integration for Drupal input formats. The Markdown syntax is designed to co-exist with HTML, so you can set up input formats with both HTML and Markdown support. It is also meant to be as human-readable as possible when left as "source".
This module is a continuation of the Markdown with Smartypants module, and only includes Markdown support to simplify configuration. It is now suggested that you use Typogrify module if you are interested in Smartypants support. Also note, that if you use the GeSHI filter for code syntax highlighting, arrange this filter after that one.
There are versions for both Drupal 6 and Drupal 7. In the case you are using Drupal 6 for your site, you would not need to change module when updating to Drupal 7.