By default, the links left in the comments have a rel="nofollow" attribute automatically added by WordPress. According to Wikipedia, nofollow is an HTML attribute value used to instruct some search engines that a hyperlink should not influence the link's target ranking in the search engine's index. It is intended to reduce the effectiveness of certain types of search engine spam, thereby improving the quality of search engine results and preventing spamdexing from occurring.
In other words, any link pointing to a site provides a PageRank to the site. PageRank is used by Google to assign a numerical weight to each element of a hyperlinked set of documents—such as the World Wide Web—with the purpose of measuring its relative importance within the set. If a link has a rel="nofollow" attribute, it will not provide any PageRank to the linked site.