Thought this might prove useful - it becomes a bit automatic after a while, but perhaps not if you're newish.

There's 2 sides to this:

1. Researching the merchant in the 'real' world
2. Researching the merchant stats at the network (mainly conversion)

Starting with (2).. there are so many factors influencing the stats, that unless they are truly dreadful looking, I'd ignore them. ie. the questions you need to answer can't be answered: who is promoting them, what sort of websites are they being promoted on, are the commissions coming from affiliate ppc etc. etc. Too many variables to really help you decide whether you should promote them or not, in my opinion.

Now (1)...

There are many, many online retailers who you will not have heard of or used, but you absolutely need to know if anyone else has, before you promote them.

Take clothing. They might be small and 'me-too' clothing shops, with no obvious chance of making it, or they might have a unique selling point or well known brand within a niche.

I'd never heard of Cath Kidston bags until our 13 year old wanted one. If I didn't research them I might never know that they are a must-have for quite a few people.

Obviously if you know your niche that's OK, but I bet lots of clothing affiliates took quite a while to realise that ASOS had a brilliant usp and for that reason (and others of course) it would convert well.

Ultimately conversion depends on the final retailer offer and brand, assuming you deliver the right visitors.

Perhaps its worth asking 'would I start up that website like that selling those products in that way ?'

Fortunately huge quantities of information are out there online for you to tap into.
Forums, blogs, press releases, company information etc.

I keep seeing new merchant affiliate program launches and I don't know why they bother, because they haven't even established a niche loyal brand following. Well, actually I do know why - they get free logos all over the net, even if they don't convert.

But you're the affiliate. You can do the detective work.
If you're good at it, you'll probably spot a new retailer that consumers are twittering about and reap the rewards, assuming they've got an affiliate program of course !