the fact that you will be very unlikely to earn a penny out of them unless you are among the top ranked sites.
One of the ones I use, is Amazon, but have never had a return. The reason for this is that the purchase has to be made directly from the link to your site. I believe that most people will bookmark the advertiser and return to it later, meaning that the sale doesn't come from your site link. Believe me, it's a complete waste of time. The only reason I leave mine on site is because they fill the otherwise empty margin!