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For example, I inserted a site of mine in del.icio.us. After a while I checked if my link was indexed by google. But neither http://del.icio.us/tag/[mytag] nor http://del.icio.us/[myusername] was found by google using "site:".
So: If the keyword/tag you want to have effect on the ranking isn't very much known, this will have no effect on google? Does using popular tags will have effect on your ranking on google or would you suggest using news-services like digg.com instead of social bookmarking?
del.icio.us uses nofollow so it has no direct SEO effect for your own website. It can help bring in traffic if you know what you are doing though.