Is it possible to search in comments, along with searching in questions and answers? I suspect the answer is no. I think that would be a very useful option to have in the advanced search.
There is no on-site mechanism owning to the intentionally second-class status of comments.
When I really must search comments I use google with the
site:physics.stackexchange.com specifier, but you often have to search through a very large number of results. The more comprehensive the list of keywords you can provide the better. Also include the username if you know it (say when searching your own comments).
As an alternative to dmckee's answer, which is generally quite reliable, if you can't find what you're looking for, then variants of this Data Explorer query might help.