Experiences differ, but I think nothing of adding a comment to an entry that I've been linked to where it's a topic I'm interested in discussing. I may feel moved to supply context of where I'm coming from, if it's self-evidently a discussion in someone's living room that I happen to have walked into, or if it's one of those big parties that spill out into the street, where no one knows each other, and the discussion of how we got here is at least as interesting as what we're talking about now that we are here. However, if it is, say, a journal in my "neighborhood" and it's the sort of thing you'd discuss out on the lawn and not feel weird when the neighbors join in the discussion, I might not even mention "I'm a friend of so-and-so and I happened to be passing by" or "and they happened to provide a link and I followed it", because odds are we've interacted before via that friend, or via several other.
Part of the reason why I'm so comfortable doing this is that I know who they are. Since LJ regulates username identity, I know that whenever I meet annabot_support on the site, I know she's going to be the same ... well, bot ... that I am familiar with. This is different from walking into someone's random WordPress blog and meeting an Anna in the comments, then going to another random WordPress blog on that first blog's blogroll, and meeting an Anna in the comments. It may be the same name; they may write the same; if they're linking to the same homepage they probably are the same; I don't have a guarantee of that.
(That brings me to another digression: anonymous versus anonymous versus anonymous. Some people would argue that any blogger who does not state or verify their legal name is writing anonymously, as they have not linked themselves to a human being with ID and an address, even though they have created an identity profile that cannot be impersonated on that service. Some people would argue that anyone who does not create a profile on the service upon which they are using is acting anonymously, even if they include information sufficient to identify themselves to the person or people with whom they are interacting. I recently had someone say to me, "That's not an anonymous comment; that's my mom!" ... because their mom is the only one who leaves anonymous comments in their journal. No one is going to argue the point when someone interacts without creating a profile, leaving identifying information, having identifying information logged at a user-accessible level, or working with the expectation that the people they're interacting with are going to know their identity without them stating it.)
While it's a small thing, being able to identify the person you're talking to, it makes at least me more likely to interact, because I have more of an idea of what this person is like in their interactions as well as in their top-level posts. I can be hesitant to engage someone, no matter how cool their ideas are, if I don't know which way they tend to jump.
When I leave a comment in a journal that is not my own, since this is LJ, I know that all direct replies to my comment are going to be emailed to me (or inboxed to me, if I've turned off my email notifications for some reason). I do not have to worry about subscribing to each individual discussion that I have participated in, because I am part of the greater LJ community. This makes it both easy for me to participate in a single discussion thread with whoever cares to discuss, or participate in a single entry, without either going out of my way to subscribe to anything, or need to get notified of all the comments to the entry, or need to juggle limited subscriptions. There are also a number of excellent communities. Some require membership to read and/or comment, but I never have to re-create my whole journal as part of the automated signup process for a community.
In contrast, if I leave a comment in a post on a blog that is not running the LJ code, I will probably not get notifications of replies to me. Either there won't be an option, or I may not subscribe to it. Any available subscription may be a subscription to all the comments to that entry, rather than replies to me. There may not be a difference between comments to that entry and comments in reply to mine, as they may not have threading. I may not be able to delete my comment there if I need to for some reason. I may get replies and never know about it. Message boards are another ball of worms -- there are thousands of excellent forums out there, some with better content than LJ-based communities, but most of them require creating a profile before you can interact, and sometimes even before you can see the discussion. Hooray throwaway profiles.
LJ doesn't deliberately make itself a closed community, but it's possible for LJ users to set the barrier to interaction on their own journals arbitrarily high, discouraging external users (plus the OpenID support isn't all that friendly despite the fact that it's Brad's baby), and the low barrier to interaction on LJ in general makes the rest of the world seem daunting for an LJ user.