I recently heard, but I can't find in which European country, that two guys were affiliates of some betting site. In five years they earned about 5 millions euros of their two sites. They are jailed and awaiting trial because they neglected to pay taxes for offering gambling services. But they were just affiliates...
Funny story really! I thought that as an affiliate you don't have those tax responsabilities other than paying regular income taxes? For example, just imagine what people are buying through Google AdSense ads on affiliate sites...