Can affiliate programs get you into trouble?

When you put an affiliate link onto your site, do you incur any expenses by leading the user to that site? Google and Linkshare in general.

Be nice to know if I am planning on building a directory with over 500 affiliate links.

Hi,
you will not incurr any extra cost for simply adding links to your site, what you will have to do though is create traffic to that site, then you will start to see profits. All good.
Check this out for affiliate training resource.
http://www.affiliatesprogrammes.org