Until recently I was under the impression that the search engines indexed all comments to blogs and sites.  However, there's a default setting in a lot of blog template HTML that tells the search engine spiders to "not follow" where the commenter is linking to.  (This is to discourage comment spamming as far as I can tell.)

However, there are many bloggers who -- with the aim of encouraging thoughtful comments from other bloggers --  have removed this "no follow" tag so that commenters will get the search engine benefits.  These two sites have lists of these "do follow" blogs.