There are lots of reasons to comment in different places. HN has a more pleasant UI (not as nice as Reddit's, though), I don't have to wait for the blog owner to approve my comment after moderation (or worry that they'll delete it if it's critical), I don't have to worry that it'll be rejected because it's too long or cites too many sources, I don't have to try to figure out what goofy markup the blog expects, and I can go back and see the replies to my recent comments fairly easily. And with the voting system it's easier to find the good comments.
There are advantages to doing it on the blog post itself, too. People who find the blog post a year from now will see comments on the blog post itself, most blog comment software at least supports more markup than just paragraphs and italics, the blog author is more likely to read it, etc.