Commas are so confusing, I and just about every author who blogs about writing has tried to sort them out. I've written multiple posts about how to use commas, and when, and why not. But sometimes, you have to forget about all those rules. Some phrases are so special, they come with their own personal comma rules. Of course, you don't have to take my word for it...
Of Course You Need a Comma There
I get hung up on little punctuation rules all the time. Of course, there's a lot of them to remember. But I found myself asking, several times, whether or not I was required to use a comma every time I use the phrase of course. It's confusing, because the phrase can be used in a multitude of ways.