I agree that you really shouldn't put a link in the body of the blog comment itself as it could come off as too self-promotional which is a turn off for not only the blog owner, but also the readers who may otherwise click on your name which is usually where the link to your website is.

One thing I've seen more frequently for the last couple of years or so is that more people are putting their targeted search phrase or keyword as their name or some variation of it in the place for their name and of course the link that it is anchored to,
goes to their web site.
To me, it seems that may border on too promotional as well. However, the fact remains that the name could be the name of a company which then would make sense and make it a more viable strategy providing that it is tastefully done and converts well after testing.
Of course, that's more to do with blogs than forums.
Doug