Voting for a third party is the only way to NOT waste your vote. You throw away your vote by voting for either of the two lame-on commercialized candidates.
Just because you didn’t pick the “winner” means that you wasted your vote. Watch how the Republocrats react in the event that a Libertarian or a Green captures 5% of the popular vote for a high-profile race. Historically, third parties have been catalyst for change in either of the two major parties (one, really).
I’m far more interested in using my vote to send a message for change, rather than having it get lost in the abyss of the status quo.