Yep, search engines recognize keywords which are used in blogs or articles. Also visitors come to your site when targeted keywords are used in blog & articles. When you use targeted keywords in blog then it helps in getting more visitors.
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Yes, SE's will definitely acknowledge them. Its a good way to earn one-way back links. Moreover its a qualitative one.
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If you are talking about anchor text, yes that matters. But most blogs would be allowing only nofollow links for comments, so you dont get any PR benefit from such links. The value of anchor text on nofollow links is something I am not sure about. Would like to hear from the experts.
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