For the SEO Class, you will be given assignments or projects to complete to help you learn "hands on" - so this will work for you whether you have your own site ready to develop or not
I worked on a "test page" on the side when I first sat in on Sharon & Roy's class, and just put some affiliate creative (banners & text) on the page as I was going (just so that it wasnt completely blank). I ended up getting a good ranking for that page and making several thousand dollars in commission over the next few months!
As for competition, I generally analyze the SERPs (search engine result pages) more than anything else. The majority of what I am going to promote is going to be through the search engines (either free listings or paid listings) - so this is where I look. If you are going to be promoting offline, or locally, or anything else besides keyword-specific search engine listings... then you will want to look in those places to analyze your potential competition.
Keep in mind that "competition" can be a VERY good thing.
Especially online! See:
You'll also see "Link Strategy - Tips For Gaining Inbound Links!" on that same page, which you may find helpful at this stage.