Not that I have a driving need for it, but I recently tried to track down an old comment (my own), and found no mechanism for it. Am I missing something?
There are two sets of comments: Those submitted by you and those submitted by others to you (are to posts that you made). The former is available under the Comments section of your Activity tab in your User profile, and found at the following URL (since it's user-specific):
Here's a screen grab of yours:
For comments submitted to you, take a look under the Responses tab. This item is only visible to the user that is logged in, so here's a screen grab of mine:
It can be found at this URL:
You can use the Stack Exchange Data Explorer to programmatically query the publically visible contents at this site or any other. A query to list comments ordered by date exists - http://data.stackexchange.com/tex/query/106474/my-comments - check that you've entered your user ID at this site and selected this site as the site to query.
With a little SQL knowledge you can write queries to narrow to some date range (I could write something if you are interested), although scrolling through the comments is quite easy.
I've adjusted that query to show the date, which I guess is pretty much essential to narrow down among many comments. It would be not be difficult to add a column to show the owner of the post the comment is attached to, if that was useful. The new query is at http://data.stackexchange.com/tex/query/edit/114970