I don't do affiliate marketing myself, but am a consultant.
One thing I think more merchants need to start offering is RSS datafeeds with affiliate IDS embeeded in the feed. I'm working on a list of merchants that already have RSS feeds but there aren't many yet - that I've found anyway.
I've blogged about this a TON and a few programs offer RSS datafeeds but not many. Ideally merchant should at least offer a feed for the top 10 products by category, new products and closeouts and specials.
I know lots of affiliates that would EAT IT UP!
One of my forum mods, Teli developed a script that can convert a
raw datafeed into an RSS feed for WordPress blogs if anyone is interested. http://www.wordpressdatafeedimport.com/affiliatefeed/ See the video on that page to see how it works.
I still think more merchants should offer feeds. It should not be that hard.
I second the rss feed idea. Basically just having something more interactive than just a banner or text link as a way to send traffic to them. Give us pictures, descriptions, maybe reviews to let me do as much to promote the product as I can.