It therefore seems that the following statements:
<!ENTITY % foo "here is my comment">
<!--%foo;-->
are equivalent to:
<!-- here is my comment -->
However, MSXML ignores such parameter references, and both IBTWSH 
(http://www.ccil.org/~cowan/XML/ibtwsh.dtd) and part of the XML version of 
DocBook (http://nwalsh.com/docbook/xml/0.7/dbpoolx.mod) use parameter references 
in a way clearly not intended to be expanded.  There is also no mention of them 
in Chris Hubick's external DTD grammar.  (He also doesn't include PubidLiteral, 
which it seems would also allow PEReferences.)
Since the people who wrote these are not exactly slouches, I am hard-pressed to 
say they are wrong, yet I can't figure out why they wouldn't be (modulo the 
usual concerns about validating vs. non-validating parsers).
-- Ron Bourret