The problem with creating an anonymous user is then you need to check if a comment was made by a "real" user, or an anonymous one when displaying the name, so that introduces complexity. Plus, if you have a way of viewing their profile page, which may include posting history, you'd need to exclude the anonymous user with an exception.
Generally it's better to have a column on your comments which represents the user's visible name, and just show that if provided, or the registered user's name otherwise. For instance, your view helper might look like this:
class Comment < ActiveRecord::Base
belongs_to :user
def user_name
self.anonymous_name or (self.user and self.user.name) or 'Anonymous'
end
end
This will display the contents of the anonymous_name field of the Comment record, or the user's name if a user is assigned, or 'Anonymous' as a last-ditch effort to show something.
Sometimes it's advantageous to actually de-normalize a lot of the database when dealing with large numbers of comments so you don't have to load in the user table via a join simply to display a name. Populating this field with the user's name, even if they're not anonymous, may help with this, though it does mean these values need to be updated when a username changes, presuming that's even possible.