Does anyone try to seo their affiliate pages?

I was putting some final stages to my next round of marketing when I came across an article about long tail keywords and it got me to thinking, would it be possible to seo my affiliate page for the keywords the companies don't really aim for I mean an extra 100-200 really targeted leads a month would be easy if it was possible.

Anyone tried this or doing this with any success?? Any thoughts or suggestions would be appreciated as long as it's comstructive of course.