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.
easy_install ElementTree
easy_install Markdown
To use the Markdown module and convert your string to html simply do the following (tripple quotes are used for literal strings):
import markdown
markdown_text = """[Hollywood Holt](
http://www.hollywoodholt.com)"""
html = markdown.markdown(markdown_text)