If you are replying to a comment I left on your User_talk: page:
Please leave a signature below, so I know you've been here, but leave the actual response next to my comment - that way, the conversation will continue to make sense, without me having to watch your User: page. I get notified, but the conversation stays "over there".
(This is just an experiment, to see if this is in fact any better than doing one or the other. Plus, no-one seems to have read this instruction in the time it's been here, so I guess it's pretty much a failed experiment!)