$args = array (
'status' => 'approve',
'number' => '5'
);
$comments = get_comments( $args );
if ( !empty( $comments ) ) :
echo '<ul>';
foreach( $comments as $comment ) :
echo '<li><a href="' . get_permalink( $comment->comment_post_ID ) . '#comment-' . $comment->comment_ID . '">' . $comment->comment_author . ' on ' . get_the_title( $comment->comment_post_ID ) . '</a></li>';
endforeach;
echo '</ul>';
endif;