There's actually a valid reason to use nofollow on sponsor links. Namely, when you do, some of your PR (if your site has it) will pass on to them. We can assume your sponsor has many other affiliates, each passing on their PR to them.
In the end, because of their loading for the same keywords you're using, and all the PR passed to them by affiliates, your sponsor can easily outrank you on the SERPs. If you're going for SE traffic, their site may - and probably will - come up first. You won't get a dime for it, even though you (and other Webmasters) helped to build their SERPs. It's free link-building for them, plus they get to avoid paying out an affiliate fee.
While there may not be a reason to avoid nofollow when it comes to losing PR from your site, there is no reason to use it if you want to retain your positions for your money keywords. Your sponsors are your partners, but from an SE standpoint, they are also your competitors.
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