It totally depends on what your industry is and what your ROI is (Obviously).
Recently, I have been spending $16 a click on a website I used Google website optimizer to optimize the landing page for a 20%+ conversion ratio.
It's an affiliate site selling a product for $299. I get $200 of that.
You do the math.
I have only recently gotten into affiliate marketing. I mush prefer low maintenance residual and passive revenue, but this is just too good to pass up. 2007 is the year of the affiliate for me. I'm going to pour my heart and soul into it.
I would suggest Azoogle to start with as its easy to use and you dont even need a site to fire traffic at. They have some great paying ads to get the lips wet and supply very nice landing pages.
It can be a nightmare to get approved but if you apply let me know and I'll email my Account Manager to try and push it through.
Amazon can be successful but I think you would need to setup your own landing page on your domain and fire traffic at a product. You probably would be better trying to sell a high priced product as it takes the same amount of work to sell something like a cheap book.