I think it depends on you niche. One of my private blog sites got twatted with spam all the time until I turned off the comments option. It's a health/fitness niche site with a PR4, so quite popular for those looking for decent backlinks.
With my other sites though I tend to keep them on. If you have a site which has an open comments or review section then remove the url, change the text to something more suitable and you've got yourself a relevant comment from a different IP.