You need not use a regex. Your content is Markdown and you can take the string and run it through the markdown module.
First, make sure Markdown is installed. It has a dependancy on ElementTree so easy_install the two of them as follows. If you're running Windows, you can use the Windows installer instead.
To use the Markdown module and convert your string to html simply do the following (tripple quotes are used for literal strings):
markdown_text = """[Hollywood Holt](http://www.hollywoodholt.com)
html = markdown.markdown(markdown_text)