Comments allow a restricted set of Markdown. So, for instance, links can be used:
Crossposted on [math.SE](long URL).
or similar is preferred over pasting the naked URL to a question or website.
There are also some extra features not available in proper posts, namely shortcuts to special sites. For example,
We should discuss on [meta] or in [chat] whether this question would be better off on [so] or [math.se].
is expanded to contain proper links to the sites and their full names as link texts.
And, maybe most importantly, you can @-notify other commenters. Otherwise the people you talk to may never realise you answered them! For example, if you responded to one of my comments, you would start with
@Raphael to send me a notification so I can read and act upon your comment.