The Power of Content shows us that the anchor text used to link out can help increase your ranking. The anchor text you use to link out acts like a super bold. People have reported a ranking increase by linking out to authority sites but I don't think it's the authority site linking that gives the ranking boots it's the link anchor text. For example if I link out using the anchor text keyword to a post about keywords then that will help this post rank better.
By using their name, people are denying you that opportunity to increase your ranking. For relevancy, there's no way that google can be that smart. I don't trust relevancy anymore beyond the word level. I'm not sure that Google can know the relevancy between all the synonyms and definitely not between unconventional connections. Let's say your blog is about making money online and someone posts a comment with the anchor text online banking. You get relevancy for the word online!
Unless your name is something like Tom Cruise then your name doesn't provide any value to the blogger as anything that would be searched for. There could be a rare circumstance like: You post a comment under the name Jerry and someone googles "How did my friend Jerry make so much money online?"
Your name is also largely irrelevant except as a means of identification. A rose by any other name doth smell as sweat... If your website is a site like Fear dot com where you could die by visiting the website then it would be much better for you to describe the site with your anchor text then use your name. Your anchor niche can also be used as a form of identification "Hey that guy always chooses banking keywords!" If that doesn't work then you can always just sign your name on the bottom.
Don't comment spam with your worthless name! Use your keywords!