My Vim installation recognizes the extension .md as Modula. The filetype (for syntax highlighting) can be changed via

:set filetype=markdown

In other files, a comment can be used to change this on a per-file basis. But Markdown does not support comments (or deactivated lines), so this setting would show up in the final document. But the following setting in .vimrc does the job:

au BufNewFile,BufRead *.md setlocal ft=markdown

Other useful settings:

imap <F5> <ESC>yypVr=o
imap <F6> <ESC>yypVr-o

Those two mappings set F5 and F6 to place equal-signs and dashes below the current line. It does so by copying yy and pasting p the current line, then marking the whole line V and replacing each character r=. To use this from input mode, it first issues ESC and finally o to continue writing in the line below. This helps a lot with the underlined type of headings.