I've noticed over the past few days someone has been entering text like the following into my comment fields :<a href=http://www.distritofederal.df.gov.br/003/00301009.asp?ttCD_CHAVE=101732&lorcet>lorcet</a>  unendurable imperfections <a href=http://www.distritofederal.df.gov.br/003/00301009.asp?ttCD_CHAVE=101746>phentermine side effects</a> eolith acidimeter What is this person trying to achieve, and is there anything I need to do to ensure they don't do anything malicious through my text entry fields?EDITIt looks like this site belongs to the Brazilian government. Other sites that have been linked don't even exist. Hence I am a bit skeptical that this is just link spamming.. 
Keeping your text entry fields secure
security
They get links to their site, which is good for ranking high in the search engines.And additionally they gain exposure, since visitors of your site might follow these links..As @mark mentioned, it could very well be of malicious intend if the linked site is 'bad'More important is to make sure that your site does not allow in the comments all types of tags. If you do, then someone could post a comment with a <script> tag that could load some malicious code to the browser of your sites visitors, and it would seem like you are the responsible party.. and your visitors would be exposed ..