I sometimes do. I hardly ever though as I can't be bothered waiting for some pages to load, but that's just me being lazy.
And usually I have heaps of other pages up or I'm talking to loads of people on MSN Messenger, Yahoo! Messenger and AIM.
So there you have it, I hardly ever click on the Links in peoples Signatures. I guess that was pointless then wasn't it? I'm gonna go back to being lazy now, lol.