You can use the Data ExplorerData Explorer and run this queryquery (thanks bluefeet and ʞunɥdɐpɐɥd for the suggestion).
-- Display all comments of a given user
DECLARE @UserId int = ##UserId##
SELECT Comments.Text
FROM Comments
WHERE Comments.UserId = @UserId
The main issue is that it needs to be run for each Stack Exchange website you want to retrieve your comments from, which can be pretty tedious to do.