This is a lesson that can't be ignored. Understand this stuff and you, my friend, will succeed where others haven't.
I've been selling my own products and affiliate products for years. Before going full-time online in 2005, I was in offline sales in a variety of industries.
There are many parallels to what we do online and what we do offline. It's very apparent if you have a lot of experience in both. Most of the techniques you see being used online, were first born or developed offline.
And.. the consumers buying habits are reflected as well.
Before I get into the meat of this article, this assumes that everything is equal. There are a lot of things that contribute to closing a sale: copy, sales funnel, quality of product etc, etc.. but here we are just going to talk about one aspect; before they hit your page.
No matter if you are running an offline retail store and getting people off the street, running ads or putting flyers out to get construction jobs, buying insurance leads... OR running some kind of website online. The traffic, lead, visitor or whatever.. they all come in different flavors. They all have different personalities.
How they react when they are in your store depends on what happened before they even walked in.
Here are some examples:
The source matters.
Nothing is equal. If it is, it's just a coincidence.
This has been illustrated to me over and over again. Online just like it was off.
Offline I tried lead system after lead system. Some converted very well! Others.. nothing. I tried ad after ad in different newspapers. You know what? Some converted.. some did nothing.
Online I have received traffic from source A (maybe someone's list or maybe my own..) and I got a bunch of sales and commissions.. and then traffic source B (maybe search traffic or forum traffic or social traffic) brought me only a sprinkle if any. AND vice versa.
Why am I telling you this...?
Because I don't want YOU to give up from one 'go' at something. It doesn't work that way. It's a numbers game. And all the things I mentioned above matter!
If one source doesn't work, fine.. try another.
If one source kicks butt.. know that another won't kick as much butt. That doesn't mean you should curl up in a ball and cry about it. That's just how sales work.
You are in sales whether you like it or not. 
Your job is to test traffic...
Your job is to assess, learn from it.. if it works, do more of that. If it doesn't, move on.
So understand that all traffic comes in different flavors and will bring different results based on a LARGE number of factors. Don't get bummed if something doesn't work right away or one source didn't bring in $1000s of dollars. You just failed... that's all. That's how we learn.
Good Luck!
-Matt Levenhagen
Conversions and ROI - Traffic