Python Markdown offers a flexible extension mechanism, which makes it possible to change the behavior of the module without having to edit the actual source files. To use an extension, install it as a python module and then either specify it at the command line (see Command Line) or pass it's name to markdown when you call it (see Using as a Module). See Available Extensions for a list of what's available currently.
If you want to write your own extension, please see Writing Extensions.