I found several comments to be more specific to my problem than answer. So, for me comment was an answer and it will be great to mark it as favorite.
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If someone posted a comment that answered a question, then the problem just might be that the comment should have possibly been the beginnings of a fully-fleshed out answer.
Comments are second class citizens. They exist only to serve their masters, the question and the answer. Comments are designed to seek clarification, or help a user improve an answer.
Of course, they're used for a lot more than that, which sometimes leads to information in the comments that might actually belong in an answer. There are a few things you can do in these situations:
However, anything that puts more focus on the comments is sort of contrary to the goal of highlighting questions and answers, so a feature allowing users to "favorite" a comment would take away from the content that is most important.
No, I don't think it would be great. You can't even favorite answers, only questions.
Think of browser's bookmarks. You can bookmark a website or a web page, you can't bookmark specific content in that page.
Same with posts over the Stack Exchange network: if you find anything useful in some question, favorite the whole question. If you want, create for yourself Excel sheet with "mapping" of what exactly you found useful in each question.
In any case you can only mark posts as favorites. If the user that made the helpful comment is not interested in converting it into an answer just post the answer yourself and give credit to the original commenter. You can even make your answer a community wiki if you feel uncomfortable gaining reputation from someone elses content...
Comments are not the most important entities on Stack Overflow. Posts should be able to stand on their own without the comments.