If all you plan to do is drop your links in social bookmarking sites, you're probably just wasting your time. It's not likely that these links will be worth anything to search engines - even if they are followed links. The time you spend building these links could be spend developing great content, or working on other link-building opportunities that would be more worthwhile.
As far as blog comments go - if your goal is to get backlinks, it's not a good idea. These links are nofollowed and too many of them will look spammy to search engines. If you are commenting to engage with the content author, that's a different story. I often comment on other sites to engage with the content author and start a conversation. I sometimes choose to include my website as a reference, but I often choose to leave it out.