There's a small bug in rendering the entities when org-pretty-entities is on (I get the feeling that org-pretty-entities is not a very commonly-used feature). The entities \sup1 \sup2 \sup3 and \there4 are not rendered properly. The regex detecting entities apparently doesn't catch numbers at the end, except for the special case of fractions. I've added the others to the special-casing and attach a patch for it; I hope I managed to include the changelog properly (is git format-patch --attach the way to go?).
Also attached is another patch that might or might not be useful.
Sometimes it can be a problem when you can't type, say, asterisks
around a word when you NEED asterisks around the word, not a
boldface word (I'd been getting around it by using Unicode
characters that look like asterisks, like ∗). The way to do it
right is to use the \ast entity, which expands to the right thing
but doesn't affect formatting. There's also already a \tilde
entity, to allow putting in tildes without accidentally setting
something verbatim. I added entities for the remaining markup
characters: \plus, \under, \equal, and \slash. \under might be
particularly handy when avoiding subscripting (which raises the
question of if there should be an \asciicirc (or something) entity
for ^ also).
~mark