Well it's all about passing the threshold of your link building profile which you don't want to do, if you have an already well established site, moderate forum links won't get you penalized. Avoid sig links like the plaque. Most blog comments are nofollow, if you find a dofollow blog and it posts without moderation it's only a matter of time before spammers start hammering the comments on that page so you'll eventually wind up in a bad neighborhood.
Also if you post in a forum you can always log in and edit your post or delete your account, once a blog comment goes up it can be more difficult to get removed.