Ok I have this problem with my online blog, my local testblog installed on Mac OS X.5 in French and another testblog installed on Win XP in English so I guess it's not coming from me.
The comment author names won't link to the URL the author has given. When you install wordpress, there is a fake comment from 'MR WordPress' and his name links to an URL but on any new comment won't link to anything.
The readers on my blog are complaining about that and I don't know where to look for the solution anymore!
I have tried changing the template, it doesn't help.