I voted for a third party candidate in 2000, partly in protest because I wasn't pleased with either of the main two options. It didn't work out well.
The 3rd parties in the US are stuck in a catch-22: they can't attract many voters unless they have some realistic chance of winning elections (or at least get 5-10% of the vote), and they can't have a realistic chance of winning elections until they attract more voters.
After the last eight years I feel much less inclined to follow the Rage Against the Machine/Nader philosophy that there is no difference between the two parties. They're both corporate servants who will lie straight to your face, but there are different policy priorities, as evidenced by how much fail G.W. was able to stuff into his two terms.