First of all I'd like to remind you that links in comments are no-follow links. This means it's a waste of time to write comments with links to get a better SEO.
I've seen these clickable links and I've been wondering how to make them, as sometimes I like to refer to a post, or something else, linked to (!) the post I'm commenting.
There are many people who don't know how to copy and paste an URL and many more who don't bother, so my wish was to help them on the way...!
To make a link working in a comment you need to use HTML and here's the code:
<a href="URLofYourChoice">Your clickable visible text</a>
For example a link to this post in a comment would have to look like this:
<a href="http://evainathens.blogspot.gr/2013/05/how-to-clickable-link-comment.html">How to make a clickable link in a comment</a>
You're welcome to try for yourself, with a link to your blog in the comment field here.