A lot of blogs get comment spam. Basically just automated comments with a link or links back to some site. The search engines along with the makers of the blog software got together to create the nofollow tag. The nofollow is say to search engines that you didn't add the comment yourself and they shouldn't follow it.
Technically a link with a nofollow shouldn't receive any of the usual benefits associated with a link. And while it was designed to fight spam it really hasn't it slowed it down.
It's best use is probably in that you add it to links out of your site that you haven't editorially approved to help keep you out of 'bad neighborhoods'
With the keyword research are you asking about the anchor text in your signature? I'm not sure I could really cover keyword research in one post.
Stoney De Geyter just released an
ebook on keyword research (PDF), which I read recently. It's pretty good. The basic idea is you want to find the keywords that will bring the most targeted visitors to your site.
Which keywords are best for your site depend on the topic, but also on how often the terms get searched and how likely you can compete for the phrase at the moment. For example a new site isn't going to be able to compete for the phrase 'search engine optimization' until it's built up enough links. But it might be able to compete for the longer phrase 'search engine optimization services gary indiana'
With the anchor text you want to use variations of your main keywords for a page in the anchor text of the links pointing to that page. You don't always want to use the same so in the long phrase above maybe you would use things like:
search engine optimization services gary indiana
search engine optimization services indiana
seo services gary indiana
search engine marketing services gary indiana
Not necessarily the best example, but hope you get the idea.
By the way Gary is a city in Indiana here in the US and was just the first one that popped into my head when writing this.
Kirtan you beat me to the post. I was looking for that Dan Thies video and couldn't find it so thanks for posting.