This post is simply to explain to all the commenters here that Blogger's comment system fully supports HTML. This will allow you to make URL's clickable and such. Once I have spare time to write more CSS code here, I want to try and make it so URL's in comments will be made clickable automatically, but until then (and I'm not even sure how successful that will be), you can use HTML.
Here is the code required to make URL's clickable within comments:
<b><a href="www.url.com">URL Title</a></b>
I added code to make the link bold, because otherwise it will not stand out, and will blend in with the rest of the text. As I'm sure you all know already; bold is the language of clickable links here.
So there you go... you can all now use this and other code to make your comment links clickable. I'm not exactly sure what, if any, limits Blogger put on the extent of supported HTML, but I know that url code works perfectly.