Depending on what blog you are commenting on - if you comment on a splog instead, then no value would be forwarded to your site. Otherwise, if you have screened through your list of blogs to be commented on, and if you have found a post that has high user engagement, then that would be a valuable place to place your comment. Furthermore, a high user engagement site would be most likely moderated, and if it's a good comment, it should be approved, and that will increase the visibility of your original site instead.
With so many metrics placed by the Big G, they do know which page has high user engagement, and having a link from within such a page is like having a link (vote) from a high PR site in the past.