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One major difference is that CJ consolidates all the payments and you get them in one check, while with LinkShare they're separate.
There are different levels of reliability with different vendors. With CJ, when you sign up for a particular participant you get to see details of their payment history, like when they paid, if it's still pending after few months, etc. If one doesn't look good you can just cancel. LinkShare has a list of some that are preferred, which indicates some decent track record, and BeFree has a few that have some kind of qualification for a few based on their history with them.
I've only scratched the surface, so I'm sure you'll get more and much better info from someone else. Also, there are lots of discussions about them if you go back while through this forum.
CJ offers stats for earnings of each merchant, which helps you pick the best advertisers easily.
One major problem with LS, is they allow merchants to set return days to zero. This means your visitor must convert on the FIRST click. Returning visits, even in the same session, don't count unless clicked through your link again. Very poor business, IMO. CJ allows a cookie duration minimum of one day, which is still less than reasonable, but at least you have 24 hours to convert.
You can try both, and see what works. Just pull the links that don't produce.
BeFree is another option, and I have had marginally better succes with them than LS.
Picking a program: