Linking your website through someone else's blog may not be the smart thing to be doing. If both of you had at some point an agreement concerning that, then it's cool. But if not, then it's just not right doing it
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Sure it would be annoying. It's better to leave out whatever you want to say without dropping your own blog link as it would be like you promoting your blog.If the blog allows it , you may be fine on the short run, but advertising your blog on someone else's content is pitiful , sorry but it is quite annoying , imagine having a blog and someone shows up and comments their blog link instead of actually giving feedback, wouldn't you be annoyed?most likely .
It also makes the site visitors to feel good about having to share their views about a topic of interest that is being discussed.It isn't a bad idea to ask for blog comments from visitors or from people who isn't your visitors. It helps improves the site search engine optimization result.