It works the same whether it is a blog or website. With a blog you need to find relevant offers to your blogs subject matter and then you can use a combination of banners and links. I am finding that currently I am getting more clicks on links than banners.
Blogs are often times much easier to update and add posts to, especially somthing like Word Press which is an excellent content management system.
Blogs are a great platform for affiliate programs. Its even good for eBay stores using the phpBaypro plugin.