Single list tight:

Single list loose in "paragraph mode":

Single list loose with multiple paragraphs in an item:

A single list that looks like multiple lists separated by a blank line:

There's no way to actually get multiple consecutive lists in Markdown. Neither Markdown.pl nor python-markdown allow it either. In a mailing list thread a few years back, John Gruber suggested using double blank lines to separate consecutive lists but no implementation does it. For now you need to separate consecutive lists with unindented text:

Cough.

Cough. Cough.