It depends. For example, CJ has an option for a publisher to hide tracking information, converting the link to somemerchant.com. Probably you've seen a page with different types of links - hidden and not hidden. It's up to publisher to decide which link to use. If you want to earn money - there should be a link with tracking, if not - just a link to a merchant site.
There are a few companies (FusionQuest, KowaBunga Technologies and Link Connector) that offer affiliate tracking technology where it's a direct link and the affiliate is identified by the referring domain.
The technologies associate an affiliate id with a domain, so the affiliates can link directly to the merchant URLs.