Markdown isn't one of the Languages supported by notepad++ so if you find yourself reading those kinds of documents frequently you might want to know about this project. Just pick your theme of choice (I'm using default most of the time but the screenshot is from zenburn) and download the .xml file. In notepad++ just click Language in the menu and select "Define your Language", then click the Import button and navigate to the .xml file. When viewing a markdown (.md) file you can now apply Markdown from the bottom of the Language menu drop down.

update 2024 I'm now using the kate editor on linux and windows which has syntax highlighting for a ton of different languages out of the box.