It depends on the program and what's available to be gained.
If there is unique text content and the possibility the link can be indexed with my affiliate ID then no, but if the target page contains a canonical link, noindex meta tag, or the robots.txt file instructs the search engines to not index that page, then yes I usually add a nofollow rel tag when linking to it. But that is a last resort - I would prefer to link to something that might get indexed, so often end up linking to galleries as opposed to directly to the sites. Programs that use the aforementioned indexing chicanery on their galleries - like NastyDollars has recently begun doing, I usually skip altogether.
