It can be a huge help if you have a lot of posts and are a valuable contributor to the site. Most forums are almost completely indexed by the search engines, so, if you have been a member of a forum for some time and have, say, 500 posts, and you change your signature to have a link to XYZ website, all of a sudden there are 500 links to that website. I'm not sure how the search engines rank multiple links from one source, but forums seem to have high page rank in general, so any link form a forum is likely to benefit you.
What's important is that you be an actual useful participating member of the forum. If you simply sign up to a forum and start spamming it with posts just to get your signature out there, you are likely to be kicked off or suspended. If you offer valuable content to the site, everyone will be happy, and your site should hopefully get some traffic.