I was scratching my head after trying to troubleshoot a template problem for a few hours today; I was building a Zen subtheme for a site that had, until now, been using Garland for it's styling. In this subtheme, I wanted to have comments display with a similar look to Garland, and I especially wanted automatic permalinks to comments, referenced by a comment number:
I looked through comment.tpl.php, and my template.php file, as well as zen's template.php file, but couldn't find anything related to the $id variable, which is used to build the numbered permalink. After opening up Devel themer, I found that there was a call to _zen_preprocess_comment(), and that was the likely culprit...
To restore these comment numbers/permalinks, you will need to grab core's TEMPLATE_preprocess_comment function and place it in your subtheme's template.php file. (This is an easy fix... if you'd like to get more advanced, you can hack the code to do other more Zen-like things, like print 'first' and 'last' classes for comments).
Be sure to change TEMPLATE to the name of your theme!
After you do that, your theme should have comment styling very similar to that of other core themes, with the permalink comment number intact (see below for the final product).
(numbered permalinks ftw!)