If you are an affiliate marketer, then you are in business. Therefore, you should treat it like a business. Keep in mind that Linkshare, Clickbank, Commission Junction and all other affiliate marketplaces are going to report your earnings to IRS.
Each of them requires that you provide a Social Security Number or EIN number when you apply with them. These numbers are used to report your earnings. At end of year, you'll receive a 1099 form which is IRS earnings document given to Independent Contractors.
Since you have to pay taxes on your income, you should take care to make sure that your income is properly calculate. Remember, gross adjusted income is going to be total amount that you earned - your expenses. For this reason, you really need to keep track of all of your affiliate marketing expenses.
Keep receipts and track all following:
* Web Hosting Costs
* Affiliate marketing tools (such as your WordTracker membership fees, cost of products like Adwords Analyzer, etc.)
* Any PPC advertising that you purchase.
Don't do as I have been prone to do and wait til end of year before you start putting these numbers together. You'll forget many and you won't be able to gain access to others.
For example, with PPC advertising, Google seems to keep records online forever. Great. But Overture only keeps last 90 days and you can't - I repeat - You CAN'T get those records older than 90 days. (Ask me how I know :(