Maybe I'm creating a dupe here, but here goes...
I (also) would really like to see replies to my comments included in the Recent Activity page. I miss a lot of replies to my comments where I'm not the question owner or the answer owner. I don't want to be know as someone who doesn't bother to reply to things... I do see the danger, though, of comment discussions which I am in agreement with others on as far as not wanting that to happen.
My idea would be to add a Reply button/link/whatever to the end of comments (next to the Delete button maybe) that would then open the new comment editor textbox and allow you to post your comment (as previously suggested). However, the new comment would be marked (in the db, not necessarily in the UI) "in reply to CommentId XXX", in a InReplyToCommentId field or something like that.
So, Recent Activity would do this (pseudo-code) lookup and display items:
select * from Comments as replies join Comments on replies.InReplyToCommentId=Comments.CommentId join Users on Comments.UserId=User.UserId and User.UserId=1234 where Comments.TimeStamp >= WhateverTimeframe
This would be cleaner than getting a notification of all questions/answers to which I've commented as it would weed out the ones not necessarily related to something that I post.