Comments versus Blog Posts
Any good link building campaign should utilize all methods of link building possible, including (but not limited to) blog commenting, forums posting, social media advertising, directory submission, and text link advertising.
Of the free methods of links building, blog commenting and forum posting are the most popular.
If you find a good, active forum that has topics and responses that are very closely related to your website, it shouldn't be very hard to get into the conversation. In a forum, you can often use your desired key phrase to link to your site.
But for SEO purposes, blog commenting works a little better.