Participating in online forums can be a good exercize. Needless to say, you can learn quite a bit. You should be cautious, however, since a lot of the information can be less than reliable. There are a lot of newbies on these forums who know next to nothing, yet still think that they know it all! That said, you eventually learn to sort the wheat from the chaff pretty quickly.
A major benefit is that you can promote your website or blog as you participate. You just place a link to your site in the "signature" that appears at the bottom of all your posts. You'll get some clicks directly and if the signature link is dofollow it will help a little with SEO.
My advice would be to join quite a few forums, and participate every now and then. While forum signature links are not as valuable as article bio-box links, they are worth something. And having them coming from a range of sites is helpful (the search engines do like variety in link building, remember).
There are a few lists of these dofollow forums floating around the internet. They include a lot of common sites, though. Of course, it's not to hard to find some new forums yourself with a bit of creative Googling.
Here are some I found just recently: Marketers Space Forum, Net Affiliate Talk, Web Hosting Forum.