There isn’t really a single answer here. It really depends on what topic you’re covering and what products or services you hope to sell.
I’d say you should go with blogging as an affiliate if you don’t have an ability to design a Web site. You can get setup with WordPress and install a theme to get a look and feel that works for you.
If you plan to write content that would include recommendations, I think a blog would be an ideal venue for you.
Otherwise, there are a wide variety of affiliate types out there that work in varying degrees depending on the vertical you’re focused on.
There are traditional content sites, as well as comparison shopping, coupons, rewards, etc.
Successful affiliates are also using e-mail and pay per click search engines. And there are a variety of ways you can leverage Web 2.0 as an affiliate, such as social networks, podcasts, and video.
I would say that you should go with the method that is most comfortable for you, as it will be more likely for you to stick with it if you like what you’re doing, whether it be a blog, social network, e-mail list, or whatever else.