Like bimwitheric said, some of best broad niches are Health, Wealth, Relationships and Expensive Hobbies. Choose one of them.
Now, you should look at affiliate marketplaces like ClickBank, Commission Junction and RapBank and identify niches and products inside of that broad niche. You should choose a niche with 1 or 2 affiliate products with good accept in market.
Now, study about that niche and product. I guess one of big mistakes is trying to sell products you don't know in a niche you don't know anything. When a visitor realizes you don't know anything about that niche, what do you think he does? He closes that page immediately! So, you need be an expert on that!
Now, plan and build your website - keywords, pages, categories, textual content, videos, internal linking structure, free reports, email lists, etc. First plan, later build!
And "last" now: Now, market it! You need use social networks, microblogs, article directories, everything you can to reach your potential customer.