An integrated store makes sense on a user retension level. After a purchase (or more importantly a non-purchase), a person has to decide what to do next. If your page/links/content are in front of them when they make that decision, the chance of them sticking around is far greater (as opposed to them deciding to click the back button 6 times once they're inside Amazon).
The thing to weigh is audience reaction. Selling a product is selling a product, but if you're trying to look impartial for any reason (reviewing a product, for example), your users might feel more comfortable the farther away the actual transaction is. It depends on your specific audience and what you're site's about.
All in all, I think Amazon has really opened up the options for their affiliates.