After I've inserted some amazon associate links, that work fine on their own, into a article and they are clicked on they display my website name in addition to the amazon.com/x link name resulting in a "cannot be found" on my site.

Why does it insist on including my website name when I clearly put only the amazon link in the insert link option?

Does it happen with the twenty ten theme? If so it is not a theme issue.

No it doesn't happen with twenty ten theme, it's something I'm doing to the link then?

I'd have to see exactly what the code you are inserting is.