"LUN" is an acronym for "Link Under Name". In a blog such as Tom Maguire's Just One Minute, when a poster puts LUN in his or her comment, you can click on his or her name to follow the link the commenter is promoting.
This is a shorthand way to point other readers to another web page without having to understand how to use html to properly format links.
Obama lied again! LUN
(where clicking the name of the commenter takes you to the link showing the latest Obama lie)