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Not as far as I know. Of course, you can easily see your recent comments via your user page, but to get them all, I think the easiest way would be to get the latest database dump and dig them out from there. I haven't looked hard at one of those dumps yet, so I don't know how much work that would be.
(Repeating Harald's answer with a bit more detail) If you're looking for a recent (last few weeks) comment, you can look through your recent activity. If the comment you're looking for is older than that, you can download a copy of the most recent database dump and get a complete list of your comments using the grep command
grep 'UserId="1593"' comments.xml
(this will work on any linux or mac machine ... does windows come with a way to grep?)
If the comment you're looking for has been deleted for some reason (either by you, or because it was flagged offensive, or because the parent post was deleted), contact me and I can send you a really complete list of your comments, including anything that's been deleted.
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