HTML is automatically removed from signatures for security reasons and to stop people from putting strange HTML into their sigs that destroys page layouts. If you want to try enabling them, you will have to hack the core.
in usersettings.php, change
Text Formatted Code
$A['sig'] = strip_tags (COM_stripslashes ($A['sig']));
to
Text Formatted Code
$A['sig'] = COM_checkHTML($A['sig']);