I.E.: I have some sites written in Italian. When I'll reach my 10th post, I'm going to put the urls in the sig. Now, will these links have less weight because this is an US forum and my sites are in Italian? Or it doesn't matter at all and as usual the only things that count are anchor text and if the sites are thematically similar?
Google does use geotargeting. So if you want rankings on google.it, you would be best off getting links from other Italian sites. The links here will still help a bit, but not as much as links from sites hosted in Italy and sites written in Italian. When you use forum signatures for marketing, it is best if the forum visitors can read your links/sites. That way you can also benefit from some direct traffic from the forum.
I think regardless of where the site is hosted if the sig is in Italian, it should still help the rankings for that certain keyword
Are the sites related to the web/domains etc. If they are not you should focus on getting some Italian links in the subject matter.