It is like saying, "Hello, George."

From what I was taught in English courses over the years, a comma is required when speaking directly to a person or object:
"Hello, George."

The comma separates the sentence from the person to whom the sentence is spoken.

In the case of, "Hello, World," 'World' represents a living entity, hence the capitalization/capitalisation (I hate English) of the word. It is like saying, "Hello, Earth." We aren't saying, "Hello," to the earth (which could very well refer to the ground on which we stand). We are saying, "Hello," to Earth, the planet itself.

Yes, I know. The capitalization/capitalisation thing is stupid.

"Hello, Mother."
vs
"Hello, my dear mother."

The difference is so ridiculously subtle that it isn't really worth thinking about if you don't need to think about it.

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Waiting patiently for Windows 7, XHTML 2.0, CSS 3.0, PHP 6.0, the ratification of C++0x, and the day that I can code without logic troubles.