[Most of us know Google Adwords likes nothing less than someone direct linking to an affiliate link. But can anyone tell me if any PPC engines do allow this?]
I believe the only problem Google AdWords has with affiliate marketing is that many affiliate marketers routinely violate AdWords policies. Everyone must follow the same policies, affiliate marketers are not excluded, though many acts as if they are exempt from policies merely due to the fact that they are paying for ads.
Beyond that, I would caution anyone that is using AdWords, as a source of traffic for affiliate marketing, to avoid direct linking due to the fact that you are held accountable for the merchant’s content and practices, which are beyond your control.
Additionally, you should avoid linking to a merchant’s sales page from an AdWords landing page. Linking to the merchant’s sales page may be interpreted as a violation of AdWord’s policy regarding Bridge pages.
The only smart way to use AdWords as a source of traffic for affiliate marketing is to create your own landing page and only link to the merchant’s checkout page.