<?php the_tags( '#', ', #', '' ); ?>
EDIT: to add the # to the link text:
if( $tags = get_the_tags() ) {
echo '<span class="meta-sep"> | </span>';
foreach( $tags as $tag ) {
$sep = ( $tag === end( $tags ) ) ? '' : ', ';
echo '<a href="' . get_term_link( $tag, $tag->taxonomy ) . '">#' . $tag->name . '</a>' . $sep;
}
}