This is a pretty major bug in terms of Search Engine Optimization. A trackback comment includes an excerpt of the blog which linked to you, including the link itself. It might be that that link had, as its anchor text, a truncation of your blog URL. For example, the linking blog might have a link with anchor text "http://anotherwpblog.com/blog/check_thi..." but the actual hyperlink points to "http://anotherwpblog.com/blog/check_this_out/". The bug is that your trackback comment will contain a hyperlink to the *truncated* address. So the linking blog created a link to check_this_out, but *your comment* creates a link to check_thi..., which obviously doesn't even exist!
You can see this in action (I'll leave it uncorrected for a few weeks for readers here to see): look at the link in the trackback at the bottom of http://www.glowingfaceman.com/blog/surprising-japanese/ (the linking post is http://tjic.com/?p=13508 ).