Most blogs don't allow comments to count as links. For example, if you leave a comment on my blog and you have your own blog though I can click on your name to get to your blog, the search engines do not count that as a real link. However, there is a movement called "do-follow" where the HTML code in your template is changed to allow everyone who comments to get a link back to their own blog. I first learned about this at Scribbit.
Check out Randa Clay's site to learn how to turn off the "no-follow" for your comments and give those who comment a link or two--I did. It allows everyone who comments on your blog to increase their power with the search engines and reinforces our community a little bit more.