Short answer is no, it's not a good way to build links.
They're usually nofollow so it tends to not be worth it
Yes above two guys are right , the owners of the site on which you are commenting are clever enough to put a nofollow tag. That they wont give you the credit of their PR in form of a backlink to you.
But its not a necessary they will always put up a nofollow tag. I think it depends upon individual whether he is putting nofollow or Not.
I have had quite some success with blog commenting on nofollow blogs. I seems that if you write a good comment that stands out from the crowd, people tend to click on the link, which has brought me some targeted traffic.
So even if a blog is nofollow, you could still benefit from some true clicked traffic, though.
and if the blog is on topic to your site then you are actually 'building a relationship' with the blog author. You may get a non-nofollow link from the body of the blog :)
If you are doing this purely for SEO then you needn't worry about nofollows on the links. A savvy blog owner will spot you as a spammer and zap your posts.
I'm with Piatkow on this. I get quite a few comment attempts from people obviously intent on promoting their sites via my blog and nothing else. I just delete them straight away.
use a search engine on the web which searches for nofollow only blogs. Then try and post in your content sector. Some of those links will stay, some will be deleted. Maybe spend 15 mins each day but not a couple of hours. If you get one dofollow blog link a day then thats better than nothing!
I've had a some good experiences with posting a comment on relevant blogs. For instance, I made a tool for SEO that I thought was pretty good, and I put a comment on a few articles about SEO tools. As a result I got some traffic directly from the site, and the blogger didn't delete the link. I had a few bloggers add the tool to their list. I think it usually comes down to the relevancy of your comment, and the quality of the comment. If I were to post my SEO tool on a blog about web page design, I would get booted lickity split. If I was relevant, and my comment was only two words followed by the link I would get booted also. However if I give a good description (paragraph) and then give the link for supplemental info I don't think people get mad.
I can't comment on if it actually helped my search engine ranking to do that though.
i saw a few thousand visitors directed from a comment coming from a blog on one of the sites i manage. if its got a good following, the comment is relevant and adds to the conversation, who cares about the no follow;
the traffic was directed to a content site so every page view counts.