Good day, rratovsky!
I'm interested, but have some questions.
Isn't it illegal to promote tobaco and alcohol?
Among almost all Ad Networks its illegal. However, there are some that allow advertise tobacco and alcohol. I may assume, u're interested in CPM ad networks. i've made a small list of such networks (not 100% sure, but worth truing): Affinity, Adpepper, BannerConnect, Casale, Clove network. The flip side of the coin is that they are not really high quality networks. Anyway, good luck!
About niche to try for a new affiliate, well, I've heard file sharing is good to start work with.
Hope I've helped.