Dropping links in forums can backfire on you if the forum members take offence at you spamming.
Sometime you can't even drop a link until you have made a certain number of posts but even when you can, the link must be really relevant. If it isn't helping someone it is spam.
It might be useful to link to your website on your bio page instead.
Each forum is different so take your time to get to know it.
As already said by Marcus and Matt, participating in forums can help raise your online visibility which has got to be good, but don't overdo the links.
