The problem is that a lot of sites are using no follow. Here is a good question and answer from seomoz about commenting for backlinks. It does say that it can be good but it can also hurt if not done right. I cannot remember where I was reading about the links from comments not holding as much weight anymore, but it may have been because many sites and forums use the no follow which provides no link juice.
Does Comment Backlinks carry any weight? | SEOmoz Q&A