When comments get folded in popular questions, the "show x more comments" link will not (or according to @Gabe's finding, sometimes not) work if you are not logged in. Cursory debugging shows that the comments HTML does get loaded properly, but somehow isn't inserted into the DOM.
Log out of programmers.SE
Scroll to the "Tortoise" answer
Click the "show x more comments" link
The link disappears, but no comments come up.
I think I have noticed this on other sites as well.
Tested in Chrome 10 and FF 4 on Windows 7.