If signing means including an e-mail address, 
another obvious reason is to avoid junk mail. As 
with on Usenet, few people want to attract even 
more junk mail since there are many programs out 
there to scan web pages like this one for them.

If signing means simply leaving a name, maybe 
it's also laziness since there's no verification 
mechanism here. 

Of course, some people probably prefer to remain 
anonymous as well. Except for obvious cases where 
someone wishes to avoid retribution due to the 
contents of their message.