As per JIRA documentation http://www.atlassian.com/software/jira/docs/latest
The following filter will show the issues opned by me (Current User).
repor
If you're talking only about the current user, there is a personal Activity Stream in your profile
https://xxx.atlassian.net/secure/ViewProfile.jspa
It includes actions other than comments, but does provide an RSS feed which you could filter only comments with: