If you get paid about 5% or less more from using the merchant then I would choose the network instead. This is because all your payments get consolidated into one larger check, plus the network will take care of the payments and any issues that occur.
If you go with a direct merchant then I agree with some of the above, make sure the are reputable. If it is a pay per sale program then it is not so bad with merchants, but some of the pay per lead/action programs can burn you especially pay per click type programs.
The reasons for this that there is likely to be more dodgy pay per lead and click programs rather than pay per sale, especially from the newer merchant programs is because the affiliate program owner doesn't really work things out good enough and they find that they have to payout much more than what they have earn't from the efforts of pay per click and pay per lead and then rather not pay their affiliates than pay them. Atleast with Pay Per Sale, they will definately make money from their product every time you sell it for them.