I vaguely remember seeing links to comments somewhere, was it a dream or it is indeed doable?
To get a link to a comment, simply click on the timestamp next to it. (If it is your comment, be careful not to click on "Delete" by mistake.)
For example, this is a link to the first comment posted below this answer.
It is possible to get link to some specific comment also from other places where you might see that comment. (Such as user's activity tab, your inbox, etc.) But the above method gives a possibility to get link to any comment you see on the page wich a post - which is, I'd guess, where you'd encounter comments most often.
About linking to a specific answer: How do I link to a MO answer?