Cristi, my WordPress mechanic just finished implementing the feature on the PFRE blog that requires commenters to enter a URL and an e-mail and a website address (URL) when commenting.
If you don't enter the URL it won't accept you comment. This new feature is a result of the discussion we had a couple of days ago on this subject.
I suggest that if you don't have a website and want to comment that you just take a few minutes and go create a free flickr account. To create a flickr account you will need either a Yahoo account or gmail account. All very easy to do.
Other locations where you can create free websites are:
If you want a great looking site for not much work and only $96/year I recommend squarespace.com. Requires no special skills to setup and has good performance and reliability.
There's really no excuse for not having a website where you can promote your work!
Update Apr 8: Sure you can use fake email addresses and fake URLs to varying degrees so sure if you are obsessed with being anonymous you can still be anonymous very easily... have fun!
One other thing: You need to put "http://" on the front of the URL or it won't accept the comment.