Autopair underscores and backticks in Sublime Text (2) -- for Markdown editing. Save the following under Preferences → Key Bindings - User

autopair-underscores-backticks.json

[ // Auto-pair underscores
{ "keys": ["_"], "command": "insert_snippet", "args": {"contents": "_$0_"}, "context":
    [
        { "key": "setting.auto_match_enabled", "operator": "equal", "operand": true },
        { "key": "selection_empty", "operator": "equal", "operand": true, "match_all": true },
        { "key": "following_text", "operator": "regex_contains", "operand": "^(?:\t| |\\)|]|\\}|>|$)", "match_all": true },
        { "key": "preceding_text", "operator": "not_regex_contains", "operand": "[_a-zA-Z0-9_]$", "match_all": true },
        { "key": "eol_selector", "operator": "not_equal", "operand": "string.quoted.underscore", "match_all": true }
    ]
},
{ "keys": ["_"], "command": "insert_snippet", "args": {"contents": "_${0:$SELECTION}_"}, "context":
    [
        { "key": "setting.auto_match_enabled", "operator": "equal", "operand": true },
        { "key": "selection_empty", "operator": "equal", "operand": false, "match_all": true }
    ]
},
{ "keys": ["_"], "command": "move", "args": {"by": "characters", "forward": true}, "context":
    [
        { "key": "setting.auto_match_enabled", "operator": "equal", "operand": true },
        { "key": "selection_empty", "operator": "equal", "operand": true, "match_all": true },
        { "key": "following_text", "operator": "regex_contains", "operand": "^_", "match_all": true }
    ]
},
{ "keys": ["backspace"], "command": "run_macro_file", "args": {"file": "Packages/Default/Delete Left Right.sublime-macro"}, "context":
    [
        { "key": "setting.auto_match_enabled", "operator": "equal", "operand": true },
        { "key": "selection_empty", "operator": "equal", "operand": true, "match_all": true },
        { "key": "preceding_text", "operator": "regex_contains", "operand": "_$", "match_all": true },
        { "key": "following_text", "operator": "regex_contains", "operand": "^_", "match_all": true }
    ]
},
// Auto-pair backticks
{ "keys": ["`"], "command": "insert_snippet", "args": {"contents": "`$0`"}, "context":
    [
        { "key": "setting.auto_match_enabled", "operator": "equal", "operand": true },
        { "key": "selection_empty", "operator": "equal", "operand": true, "match_all": true },
        { "key": "following_text", "operator": "regex_contains", "operand": "^(?:\t| |\\)|]|\\}|>|$)", "match_all": true },
        { "key": "preceding_text", "operator": "not_regex_contains", "operand": "[`a-zA-Z0-9`]$", "match_all": true },
        { "key": "eol_selector", "operator": "not_equal", "operand": "string.quoted.backtick", "match_all": true }
    ]
},
{ "keys": ["`"], "command": "insert_snippet", "args": {"contents": "`${0:$SELECTION}`"}, "context":
    [
        { "key": "setting.auto_match_enabled", "operator": "equal", "operand": true },
        { "key": "selection_empty", "operator": "equal", "operand": false, "match_all": true }
    ]
},
{ "keys": ["`"], "command": "move", "args": {"by": "characters", "forward": true}, "context":
    [
        { "key": "setting.auto_match_enabled", "operator": "equal", "operand": true },
        { "key": "selection_empty", "operator": "equal", "operand": true, "match_all": true },
        { "key": "following_text", "operator": "regex_contains", "operand": "^`", "match_all": true }
    ]
},
{ "keys": ["backspace"], "command": "run_macro_file", "args": {"file": "Packages/Default/Delete Left Right.sublime-macro"}, "context":
    [
        { "key": "setting.auto_match_enabled", "operator": "equal", "operand": true },
        { "key": "selection_empty", "operator": "equal", "operand": true, "match_all": true },
        { "key": "preceding_text", "operator": "regex_contains", "operand": "`$", "match_all": true },
        { "key": "following_text", "operator": "regex_contains", "operand": "^`", "match_all": true }
    ]
}]