I seem can't to get my comments approved by wordpress bloggers especially if I get to comment on related blogs. This might be because they also know that I only want to get backlinks from them.And even if you get to comment long and seem helpful, they take out my links and approve the comment.
So how do you guys build links effectively?
Actually, this commenting way does not work well. You can try promoting your blog on forums and submitting your site to blog directories is a great way to get backlinks towards your website.
I would also suggest you to produce super high quality so that people steal and give backlink to you. I was success in getting listed as a source in a big news media.
Make sure, you promote your posts hard to make the post out of them!
As Host4Post.eu stated, you need to submit your domain (links) to directories. Backlinks are a key component to building great SEO. I happen to have a couple of sites that are solely dedicated to backlinks: Link Share Club and Share Your Link.
Also, as Host4Post.eu commented, you need to have quality content on your site that is regularly refreshed. Search engine spiders like "new" content. It's actually hard work to keep a site in high rankings, if done right. I'd also recommend you quote other, higher ranking (popular), sites in your content. If you can get one "big boy" to do the same for you, you'll instantly move up the ranks. Imagine if cnn.com quoted you as a source on their website. Millions of people visit their site daily. It could mean overnight success.
As Skyon already said, backlinks are pretty beneficial for your website as they increase its authority and maybe a little more traffic by ranking a lil higher in keywords but remember backlinks from bad neighbors are always harmful. So, keep a check on your backlinks and remove the bad ones using disavow tool.
Commenting ways work good when you drive traffic from other websites. Building good quality links can be done mostly through content marketing. Web 2.0 and guest postings are ideal ways to get high quality links. I prefer much on blog promotion and social media promotion for building my website popularity.