Kaloyangeorgiev has a good suggestion. Encourage people to comment by adding a call to action at the end of every post. Something like “What do you think about [topic or theme of post]. Join in the conversation” or something like that.
In answer to your other question, be careful which comments you publish. In terms of SEO, it may not matter much which links you have leading away from your site (especially if you have them set as nofollow anyway) but I would be more worried about your image and the type of links and comments you allow on your blog.
Here are some tips on getting more comments,