Yes, almost 99.995% of the blogs today have "nofollow" attribute in their comments, so SEO is not affected. However, comments can bring you traffic.
Submit on Directories, especially articles. Or in forums, put your link in the signature. Forum signature links also serve as a backlink to your site
I have 2 pages at DMOZ, of course it took me almost 5 submissions and a year time. I havent been accepted like 10 sites all with real content, no adsense made websites crap etc
make quality content is the absolute best way to get backlinks. This will also give you natural links much better then paid ones