Mac only, Marked provides markdown and multi-markdown preview for any text editor. The preview is updated when you save the text file.

MarkdownPad is for Windows, but provides live preview.

ReText is available for other platforms and offers a live preview of rendered Markdown:
ReText is a simple text editor for Markdown syntax. It is written in Python using Qt libraries, able to run on any platforms (Linux and BSD are officially supported)

Although not officially supported, there are Windows installation instructions as well; however, I had to make a few modifications to get them to work (the complete set with my corrections is shown below):
Installation
- Install Python27
- Install PyQT precompiled for
PyQt-Py2.7-x86-gpl-4.8.3-1.exe PyQt-Py2.7-x86-gpl-4.8.4-1.exe
- Install easy_install setuptools-0.6c11.win32-py2.7.exe
- Update your My Computer's Environmental Variables. Click
Start, right-click My Computer and select Properties, select the Advanced tab, then click Environment Variables.
- Under
System Variables, click New. Under variable name enter PYTHONPATH. Under Variable value enter C:\Python27\Lib\;C:\Python27\Lib\site-packages\
- Select the System Variable
PATH click Edit. Update the PATH variable value by adding C:\Python27;C:\Python27\Lib\site-packages\PyQt4\bin; to the front of the existing entries so that it reads like PATH=C:\Python27;C:\Python27\Lib\site-packages\PyQt4\bin;...
- Install additional Python libraries. Select
Start then Run, type cmd then cd \python27\scripts. Enter:
easy_install Pygments
easy_install ElementTree
easy_install Markdown
easy_install gdata
- Download and unpack current ReText (ATM 0.8.1)
- Download and unpack ReText icons
- Place the unpacked icons into the ReText\icons folder
- Navigate to the retext.py file (probably at
c:\retext). Right-click drag-and-drop retext.py and select Create shortcuts here.
- Right-click on the shortcut to adjust the properties.
- Change
target to "C:\Python27\python.exe" retext.py and Run to minimized.
- Change the icon (which will require you to make an
.ico file from one of the .png files unzipped above into the ReText/icons directory, which can be done here
- Change the shortcut name on the general tab if desired.