I've set up some campaigns where I send the traffic to the merchants' sites. (without a site of my own in between). The destination url is the url of the affiliate network that places a cookie with my id and redirects to the merchant. Now I don't have any way of seeing the exact search queries of the people who click my ads, or retrieve their ip addresses (to monitor clickfraud), etc. I'm thinking of changing the destination urls to pages on my own domain that retrieve the user info before redirecting to the affiliate network. But then the user would be redirected twice before arriving at the domain as stated in the display url. Does anyone know know if Google allows this (2 redirects), and if they do, could it adversely affect an ad's quality score?
If you want to succeed, you need to develop your own business, not the merchant's business. Get your own website as said above, and build your own list.