I agree, it's a nice way to build links and blog relationships with bloggers who may be in your niche.
This may help some of you find those "dofollow" blogs... http://courtneytuttle.com/blogs-that-follow/
I have found many blogs welcome comments as long as they are valid and add to the discussion and not just spam. I spend a lot of time weeding out people attempting to post clever spams on my forum. It is always something like, "I was looking for a good business too, and then I found _________________.com and now earn a full time income"