1) It lets the blogger know you're reading they're stuff. Sometimes I feel like I'm writing to nobody, so seeing a comment on a post is very exciting!
2) It lets the reader express their opinion, whether they agree or disagree with the blogger. The blogger started the conversation, so a comment would be the natural response.
3) It allows the blogger to fight back. Sometimes, I feel that I have to argue my point or clarify something in the posting and the comments allow me to do that.
4) It allows for blogger/reader interaction. <--- Most important!
For writing blog comments, I have one word of advice: keep it short. You may be saying the most perfect thing to continue the conversation, but other readers (and sometimes the blogger) don't want to read comment ramble. Quick, witty comments are more likely to get a response (from me anyway).