Most of us would give anything to have gotten in on affiliate marketing early, before it was so competitive. There is still plenty of opportunity today. It just takes more savviness. Between keeping up with search engine changes and the rapid change on the web it's not an easy job. The real opportunity may be to go international. Affiliates are finding less competition. With different timezones you might be up bidding (or use Google's day parting feature) while affiliates in another country are asleep.
I found some great stats on internet useage from Internet World Stats. It shows the US with almost 70% penetration and 110% growth in the past 5 years. The rest of the world has about 13% penetration and over double the % growth.
I see this as a big opportunity for affiliates, especially if you speak another language (or operate in a country that speaks English, like the UK). I met a few people from the UK at a conference and they attested to the fact that in England affiliate marketing is still in its infancy. I know of one international super affiliate (he's in South Africa), Vinnie Lingham.
Some questions to consider:
What are the issues affiliates doing business in other countries face?
Is it difficult to find and join programs in countries outside the US?
I will do more research on this. I'd love to get your feedback.