Half the fun is the blogging.
The other half is the visiting.
It is basic A to Z etiquette to visit back the people that have visited you and left comments on your blog. In addition, we also recommend visiting a couple of people from the sign-up list every day, to promote blogging friendships and to support each other's work.
But even if you only visit 5 new blogs a day, keeping track of all of them can become daunting. Since the list numbers change over the course of the challenge as inactive blogs and broken links are deleted, simply visiting by number is not always the best way to go.
Here are some other things you can try. I have done them before and they worked for me, but you'll have to try to see which one works for you best:
1. Bookmark your favorites
Create a new folder in your Bookmarks on your browser, and bookmark any blogs you came across that you definitely want to visit again.
(I usually just clicked "Open all bookmarks", got my morning coffee and cereal while the browser loaded them, and then leisurely clicked through them every morning)
2. Follow / sign up
Even better: Sign up for the blog itself! Bloggers love to see their follower numbers go up during A to Z - they tell us that people didn't just walk by, they want to stay to read more. If you see a blog that you definitely want to keep reading, during A to Z and beyond, make sure to click Follow (if they have a Followers gadget), or sign-up for email notifications.
If you want to take blog-following to a more organized level, create yourself a Feedly account. You can add any blog to it (Wordpress, Blogger or otherwise), organize them by themes, and it will put all of their new posts into one newsfeed you can easily look through.
WARNING: Feedly allows you to read blog posts without actually going to the blog site. Make sure you go to the actual blog and leave a comment there. It's only polite.
Important reminder: Make sure to visit blogs that are below you on the list. If everyone starts at the top, people towards the end will get a lot less much deserved attention.