Well whether it is by cookies, or whatever, the fact is that if you comment on a blog once, the next time you go to comment, your name, email address and website - if you entered one - will be filled in for you, at least on wordpress.com and self-hosted blogs using wordpress.
My blog, whether I'm logged in or logged out (on both my self-hosted and my .com blogs), has always filled in my name, email address and website information for me. If I go to my blog from my other computer, which I have never used to comment on my blog, nothing is filled in.
I have two blogspot blogs I comment on regularly as well, and both of those fill in the information for me as well and I don't have an account there.
As long as I have been at wordpress, it has always filled it in for me on my blog and on others.