I´m still earning more from Adsense than from Amazon. Even though I have quite targeted traffic. People usually only buy in the first three days of the week. They probably think Amazon, and other physical products merchants, aren´t shipping in the weekend anyway, so one just as well can wait until the next week.
This is only my personal experience. I don´t know what other people would say. I want to advertise for Amazon but this seems to be a real problem. Even though they do not order anything during the second part of the week, they still click on the widgets. And will probably also click on Adwords ads during that period.
My conversion is about 1-2%. But most of my products aren´t that expensive.

I prefer EPN (Ebay Partner Network) over Amazon. I have higher conversion rates with Ebay using PHPBay Pro on my sites than I did when using Amazon Associate links. EPN's cookie lasts longer as well. Your mileage may vary, but it is worth looking into and doing a comparison for your own niche.

@Marhelper
My websites target the german market. So far I had 5 sales this month and earned about 9 Euro. The german Amazon pays 5% commission but never more than 10 Euro per product. Last I sold a fully automatic coffeemaker for 729 Euro and got only 10 Euro for it.

Often the things I sell have nothing to do with the theme of my websites. People buy books, DVDs etc. Some of these things do not even make me an Euro.