Every merchant should create keyword lists for affiliates to work from. A keyword list helps both PPC and natural search affiliates. By defining themes you can reap traffic benefits that your own site does not focus on.
For instance you may sell Ipods and accessories but you cannot expect to hit every keyword or phrase and be in the top spot. Have your website focus on your branding, customer service, unique sales proposition and user-friendly content
Your affiliate can help leverage your positions by ousting your competition and increasing your reach in the industry space.
One method I use to develop keyword lists is a site called SpyFu. I can see what words industry competitors are buying and how much they are willing to pay.
From there I can see key concepts and related terms that I can include in my keyword list for affiliates.