When people leave a comment on your blog, your blogging software is most likely adding the “nofollow” hyperlink attribute to it. The reason behind this is to minimize the benefit you’re giving any spammers who exploit comments or trackbacks. If spammers’ links do get search engine value back to their sites/blogs, it would be quite an incentive for them – therefore NoFollow is used to deter that. The consequence of the NoFollow hyperlink attribute is that search engines like Google either don’t follow or may follow those links off your blog, yet don’t give any credibility or benefit on page ranking(PR) to those linking, which means the links don’t provide any search engine value to the originating site/blog.
However, if people provide legitimate, quality comments or links back to your blog, what’s the harm in giving them a little value (or love) in return? As long as you activate a spam plugin like Akismet (which does a very good job in blocking off spam comments and trackbacks) it makes sense to open your blog up a bit and give your community a little link love.