This may sound counter-intuitive, but many times it makes more sense to develop your list even before you create a web-site. A good way to do this is by mailing list starting an electronic magazine (i.e., "ezine") in the subject area you want to do business in. Pick a topic that is targeted, but not too narrow. For example, instead of choosing "pets" (too broad) or "shih-tzu training" (too narrow) as topics, you may want to settle on something like "dog training" (just right).
An ezine provides quality content for your subscribers. You can either write your own content or pay someone else to write for you. I'd recommend that you publish your ezine on a weekly, bi-monthly or monthly basis, whichever you feel you mailing list can sustain comfortably. Whatever the case, the important thing is that you give your subscribers useful information. You can place a small banner advertisement for one of your affiliate products in each issue of your ezine.
Every so often, you can even send a special advertisement to your entire list. However, keep in mind people didn't sign-up for your ezine to get bombarded with advertisements. If you send too many, you'll find people unsubscribing in droves. So, use discretion in mailing list promoting to your list. Remember, the list you are building is the foundation to your internet business.