The increase in the character limit of comments has led them to become as important as the questions and answers that spawn them. On several occasions (especially on meta) I've found reason to want to link to a comment directly. I'd imagine something as simple as making the date / time stamp an anchored link which mimics the behavior of the question link.
This appears to be officially supported now:
Right clicking on the timestamp gives what looks like a stable URL:
FWIW, you can link to comments by combining the URL used behind the scenes to retrieve them with the internal ID for the specific comment:
However, this relies on specific aspects of the current implementation, and there's no guarantee they won't change at some point in the future. Don't count on these links being permanent!
Or, even worse, combining the permalink of an answer (to ensure proper pagination) with the id of a comment, which however might not be shown on a page if there's too many comments, or if it's deleted (and hence would result in the page not scrolling at all):
Links from the profile page currently use a slightly different format, where the comment ID has the answer ID appended to it (comment-<commentID>_<answerID>):
comment-57475_27319 - this triggers a bit of client-side script that'll scroll to the proper answer and expand comments... So it works great, but again: very implementation-specific, so be wary of using this anywhere it has to keep working long-term (at least for now): if the format changes, this won't even be recognized by the browser as a valid ID.
For a userscript that'll make this easier, see the SEModification.user.js available here.
I just can't see any legitimate need to deep link (permalink) to a comment.
Conceptually, they are too ephemeral compared to answers and questions. And on top of that, whether a comment is visible or not is completely dependent on how many other comments there are and how highly they are voted, among other variables...
Linking to the question or answer should be sufficient, I think.
edit: we do have a way to deep link to comments now, I believe -- I'll check and provide details.
This also works:
I agree, this has been a problem for me too a few times, mainly in meta-SO. It would have helped Jeff to link to me and TXI's bad joke in a recent SO blog post too! :)