I use <!--HTML comments--> instead of %%Obsidian's custom syntax%% for wider compatibility and better legibility, but <!--[[links]] in HTML comments--> aren’t clickable like they are in Obsidian comments (auto-complete works, tho).
You can make them clickable by putting <!--%%Obsidian syntax inside the [[link]]-bearing comment%%-->. (I only do this when the comment contains a link, not for every comment.) This only works in single-line comments.
A quirk: if you only <!--put the Obsidian syntax around the %%[[links]]%% themselves-->, it turns off the comment formatting after the closing %% — the comment will render correctly in reading mode but in editing mode part of it will look like normal text. So I put the Obsidian comment markers right inside the HTML ones.
More quirks: The links are not recognized as backlinks nor shown in graph view. (Added 2022-09-28 thanks to @oijee’s feature request linked below.)
There’s a feature request to better support links in HTML comments: