They're useful, but you really have to process them first - I don't think many merchants would be happy if you just linked an rss feed to a live page - for a good merchant with a few high traffic affiliates the bandwidth usage would be massive. Even Amazon limit the number of times you can call thier rss feeds, and they pioneered affiliate links via rss. The advantage of storing the feeds on your own server is that you have access to archived data that can be used to create bigger sites.
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