Most of the time people build links to their websites, they just tend to go to some blog and start commenting on dialy basis. Or they use spam bots, even worse.
In this case there are two options: 1) 50% of your comments get filtered as spam, because they are just “so good”; 2) They get approved but lack (backlink) value, i.e. you didn’t comment on the right blog.
Finding a blog
All you need is a blog with decent search engine rank and visitors. Or is it? Search engines will always count for high quality links, that come from sites related to your topic. So make sure this blog you choose is relevant to your site.
The domain also counts. Getting a mindable amount of backlinks from an .edu domain is always a good thing. Your site will be considered more useful your average competitors.
Building backlinks
Does that blog has a “recent comments” tab? Make sure you’re always there. Comment on dialy basis.
Comment on pages that are keyword-rich, don’t have more than 20 comments, and have, perhaps, a minimum Page Rank of 0. That means it has been already indexed by Google. If the page is located on a popular blog, then it should rank fine in search engines.
Getting traffic
Leave a comment that stands out. Don’t just say “nice” or “great article”! Be constructive. Be relevant. Be interesting. Most visitors follow links under your names, because of curiosity. You have to provoke them into reading and expecting more to read.
How to do that?
A blog that is less relevant to your site, but closer to your interests is a bigger help rather than the other way around. This way you will be able to leave a comment that includes your personal oppinion, experiences, etc.
Smart commenting really works: if you have to build a PR2 page through blog-commenting you will have at least 100 links pointing to your site. That is really good, but imagine now that each one of those links brings you one or two visitors per day!
Comment with those rules in mind.