By way of explanation, the nofollow attribute in a link keeps Google from counting that link as a backlink to your website. Almost all blogs automatically attribute links in their comments with nofollow. Since gaining links on other Websites to yours (link building) is done for the purpose of having Google count those links as backlinks, nofollow blog comment links seem useless for SEO.
As the comment cited above pointed out, these cheap links ARE useless for SEO. Their real purpose is to confuse competitors trying to determine where the real link juice is coming from. Another benefit of this spammy link building is that it makes the link profile of the website look more natural to Google. A steady stream of garbage links smooths out the linking profile.
Beware though. Small players could really get burned if they try using this technique themselves. Without the real strong links that the big guys have, all these garbage links can do a lot of harm and no good.
Blog comments, link exchanges and low quality link directories are the mainstays of offshore, cheap link building operations. If you've ever used Yahoo Site Explorer to take a peek at a high ranking websites inlinks, you know how much garbage there is to sift through to find a good link. If you have a blog, you know the volume of obvious spam comments that are submitted daily.
So, although spam blog comments are a major annoyance to bloggers, and an enigma to SEOs, they will persist as long as they are useful to the big players in keeping their link building process a secret.