It has been de-valued somewhat but as some people said, this helps to bring in quality traffic from websites that are getting niche related readers. Slowly building up good relevant blog comments can bring you a considerable amount of traffic over time. Not to mention an increase in rankings due to the "on topic, niche related" links you are building
This only works on do follow blogs. Do a google search for do follow blogs in your niche and only comment on those. Good luck.
It depends on the blog. If the blog is supporting do follow backlinks then your website will be benefited withe the link juice. And make sure that you are providing enough, quality, relevant feedback along with the link on the posting in the blog, this can help blog author to make sure that you're providing real feedback and he may not delete your comment because of spamming mark.
We just can't comment on do follow blog, we need to look for even relevant blog plus comment related to particular post.