I've seen that the old way of doing it doesn't work. This means spamming links to low quality blogs where approval is guaranteed. What does work is looking for high quality blogs and actually posting a thoughtful comment.
Getting such a comment approved on a high quality site works wonders for your website. It's hard work for sure and there are lots of times when a comment won't get approved, but the ones that do are gold.
My question is does anyone take blog commenting seriously anymore? Who is having success with it? I believe if done right it works better than article marketing. What do you think.