However, there are disadvantage when you have the clicks go directly to the merchant page. The merchant will have all your stats and the KWs you are using. What is to stop him/her from using your KWs from their log?
Best thing is an arrangement with the merchant where you can clone merchants page, with links going from the cloned page to merchants webpages.
If its just click through promo pages that are going to be put up, and nothing that people whould have a reason to return to, then going straight to the merchant might be best.
That way you can track some adword stats, and all the merchant sees is that they came from your website.
I think skibum makes a great point that should not be overlooked. If you have a chance of repeat visitors because of your content, brand your site instead of the merchants.