I don't believe it works - most blogs are nofollow - and unfortunately nearly every comment I receive on my blogs is spam because some idiot wants a quick backlink. Today, I got this ridiculous comment:
"Hey, I'm having bad luck attempting to rank high for the words "kokomo dentist"... Pls approve my comment!!"
At least the guy's honest right? It's such a shame that the communal aspect of the blog platform has been abused to such extents that I wake up every morning with comment spam.
I know people are going to jump and say "offer value in your comments" which is noble, but nobody ever does. Just stop doing it, and stop advising others do it - it's NOT an "SEO strategy" and you should feel dirty for doing it!