I wouldn't allow any HTML in your comments - it doesn't matter which tags you allow or deny, they can pretty much all be injected with JavaScript and other malicious coding which can mess up your site and blog.
I'd recommend BBCode like Jamie suggested. Just use something like this:
CODE
$bbcode_open = array('[b]', '[i]', '[u]');
$html_open = array('<b>', '<i>', '<u>');
$bbcode_close = array('[/b]', '[/i]', '[/u]');
$html_close = array('</b>', '</i>', '</u>');
$comment = str_replace($bbcode_open, $html_open, $comment);
$comment = str_replace($bbcode_close, $html_close, $comment);