Surprisingly, yes, you should. Despite the world of spamming going on, if a blog (or public forum, or any other website with reader input) is well maintained, I think it’s reasonable to assume that the search engines will follow the links. Check the page code behind the site and ensure that previous links don’t have a “nofollow” tag, which would negate the SEO advantage (although not the direct reader traffic).
But don’t be a spammer yourself. Link to your site professionally, with good reason. A great comment addresses the original author or previous commenter directly, and has a fairly broad answer for which the link is relevant, but not the focus. I’ve placed some massively successful links in the past using this method. The key is to be genuinely helpful.