It may seem like a very basic suggestion, but you would be surprised how many people upload affiliate code that is accidentally corrupted.
Case in point - one of my top ten 'super affiliates' was recently running bad links.
It's essential for you to test, because you deserve to be paid for every referral you make to affiliate programs. And the tracking is erased when the links are corrupt.
The biggest culprit is when gremlins in HTML editors mangle the code.
Sometimes, various HTML editors will attempt to correct or beautify your code, and the result can be a big mess that sends traffic minus tracking. Or the click goes right to a dead link.
Any small change to the actual code can and will harm your chances to correctly track transactions you refer. Dreamweaver and FrontPage have caused headaches for countless affiliates in the past, because of this issue.
Also, you can sometimes be the problem. It's easy to copy only some of the code and paste that partial snippet onto your page. Simple human error on your part can cause dollars to fly right out of your pocket, and there's generally nothing a merchant can do to make good on the missed transactions, because your ID never makes it to them.
When you put up new affiliate links, you should always click on them to be sure that they are working. If it's a per lead program, ask the affiliate manager if it's OK to run a fake lead to test the tracking.
If you are not sure if the code is correct, send the URL(s) where you have your affiliate links to your affiliate manager. If they can't be bothered to help you, don't be bothered to promote them. ;-)