How modify the comment content persistently based on $wp_query?

The function that includes the comments template also (re)loads the comments. This means that whatever you do before that point, if you don’t save it to the database it will not be used.

There is no way to prevent this SQL query from happening, but you can override the results by hooking into the comments_array filter. I would save your modifications in an array keyed by the comment ID, so you can do quick lookups and replace contents if needed.

$wpse4522_comments = array();

// Somewhere in your template_redirect (why not wp_head?) hook:
foreach ($wp_query->posts as $post) {
    // Edit post text
    $post->post_content = "foo"; // works: ends up at the client

    // Iterate over all approved comments belonging to this post
    $comments = get_approved_comments($post->ID);
    foreach ($comments as $comment) {
        // Edit comment text
        $GLOBALS['wpse4522_comments'][$comment->comment_ID] = 'bar';
    } 
}

// And this loads the content back into the array from comments_template()
add_filter( 'comments_array', 'wpse4522_set_comments_content' );
function wpse5422_set_comments_content( $comments, $post_id )
{
    global $wpse4522_comments;
    foreach ( $comments as &$comment_data ) {
        if ( array_key_exists( $comment_data->comment_ID, $wpse4522_comments ) ) {
            $comment_data->comment_content = $wpse4522_comments[$comment_data->comment_ID];
        }
    }
    return $comments;
}