I always hear about commenting on niche related do follow blogs, but whenever I see comments on blogs, I never see the links. Where are these links, in the commenter's profile and it works that way?
No. When you comment in blog you enter your name and link. Then your comment is displayed as something like this: Commenter said: Here it is your comment and link under your name. If blog use some "DoFollow" plugin you link is accounted by SE. It is better to use keyword instead the name but it is a reason to remove comment. There is a special plugin (for Wordpress) KeywordLuv. It allows to use this template for name: Bambino@Here may be you keyword and then your comment looks like: Bambino from Very Cool Site said: Here it is your comment and link under your name. Does it clear?