Depends on what you want to do:

Free content with affiliate links? (This is very popular)

Proprietary content with affiliate links in the content?

Optin capture page with email follow up?

A shopping comparison site?

A combination of the above?

There are dozens (if not hundreds) of ways to make an affiliate site...Got to pick a style first....

Here's a hint, check out the banners in CJ.com for different merchants, they can often be quite inspiring...