In your statistics you see referrals. You get curious in what context your website is mentioned so you visit the referral. If you are lucky it’s a nice post or article mentioning your website. So what do you do? You leave them a “thank you” comment.
I’m convinced it works the other way around (like Joost is saying): if you link to a website, they will notice you as referral. And with the same attitude they will visit your website and leave a comment. Ok, a comment is not always necessary, but at least you get more traffic.
So, get noticed as referral and visit your referrals!