I try to do this as much as I can, but since I use the dreaded Blogger it's harder to respond than it is with Typepad and Wordpress. Then again, I don't get many comments anyway unless they're entering a giveaway.
Like you, I try to respond to all comments even if it is just to say thanks. There have been a few times I haven't gotten to a comment, but I try to make sure to always go to the commenter's blog and comment.
DUH! Didn't even think about dropping a entrecard. Thanks for that idea.
I try to respond but I think Jenni said it, I get a lot of non-reply so I try to at least go to their blog and comment. I want to move over to WP so bad so I can do that comment to the comment thingy. One day...one day.