I don't care if you are in an affiliate program, are involved in Network Marketing or just trying to sell your products to a niche market. Just ask yourself this: How many of "High Fliers" have their own web site, and how many of "Also Rans" don't?
No one is going to take you as a serious on-line entrepreneur if you are promoting a program with URL such as: http://www.someonesmlm.com/member/script.cgi?59432 However if you have your own site - http://www.yoursite.com It will show you are serious.
Search Engines will strip off script.cgi?59432, so there goes your commission right out window. That is if they bother indexing site in first place. Undoubtedly affiliate page will already be indexed, and your page with them is most likely going to be ignored as they already have it. They won't re-index a page if it does not contain anything new, and since you can't change it, it won't.
With your own site you will be able to easily track which of your advertising campaigns are generating traffic and, more importantly, which ones are generating sales. Without being able to accurately track your ads, you will be wasting a lot of money and time.
Having your own site will enable you to build up trust with your clients and potential clients, something that is much overlooked these days. Everyone involved in online sales, recommends that you put contact information on your web site. You can't do this with an affiliate page, but can do anything you wish with your own.
Now here is best part. Suppose you join a program, and get an affiliate page that you spend a lot to promote. If program is "played out', or is simply not producing, and you decide to investigate another opportunity, all ad money you spent is wasted. Many people also are in multiple programs, and must advertise each independently as they all have their own domain.
If you have your own site however, this is not case. You can choose which, and how many, programs you are promoting all from your one site. This means that if you change or add programs, there is no need to go through all your ads and change your referral URL, You just need to change yoursite.com. A big bonus is that if you do have multiple programs on your site, someone may come from one ad, see another program they like, and join that one as well.