As a network of revenue sharing programs, Commission Junction is in a good position to know what works and what doesn't for merchants and associates. I've noticed that quite a few companies running revenue sharing programs bombard their mailing list with advice to buy Corey Rudl's marketing course. If it's true that lots of people sign up for programs and don't achieve any sales, perhaps they need a more all-round introduction to marketing on the Net. The best one I know of is Jim Daniels' Insider Internet Marketing. Textual links within content also perform well.
Banners are the most used type of link but least performing.
Conversely, storefront links are the least used but most effective. LinkShare says it hopes to discourage affiliates from simply putting up a page filled with just banners. Select the merchant programs that would interest the type of visitor that comes to your site, and consider placing the links contextually within your site. Now LinkShare faces the challenge of persuading more merchants to provide links to individual items. Yes, it DOES work.