
Depends alot really.
If it's from an e-mail or message left on a guest book then your internet provider will be able to track down the specific internet connect it was sent from.
If you want to trace it yourself it's alot harder.
Some IT geeks can track down every fine detail with the right knowledge....boyfriend once had to prove it to me and I was gobsmacked he managed to get the account details for our webspace which included contact details. (yes I am calling boyfriend an IT Geek! :D )