1- Go to Layout and on the sidebar, click on Add a Gadget.
2- A new small window will appear with a lot of gadgets scroll down and find the Feed gadget.
3- The Feed gadget will ask you for feed URL, you need to http://YOURSITE.blogspot.com/feeds/comments/default and replace YOURSITE with your actual blog url.
4- Now you can see last 5 comments on your blog in your sidebar.
5- Press Save button and enjoy.