I've mentioned my preference for longshot candidates Mike Gravel, Dennis Kucinich, and Ron Paul. I'd also consider a 3rd party vote for Michael Bloomberg if he ran. The conventional wisdom is that I'm throwing my vote away. That's not just wrong, it's backwards: you're throwing your vote away if you vote for a mainstream candidate. When you do that, all you're doing is affirming the status quo. I don't know many people who think the status quo is as good as it's going to get. Votes aren't like bets; you don't get anything, regardless of how your candidate does. That's why the winnerism of American politics is so confusing to me; what exactly do you get for having cast your vote for the eventual winner? It seems like you get nothing, because that candidate was going to win with or without you (it's a country of 300 million people, after all).
For mainstream candidates, what matters is winning. Every vote beyond a plurality for a mainstream candidate might as well be an abstention or a spoiled ballot. Bush's solid victory in 2004 bought him nothing; in fact, it lead to overreaching that squandered the "political capital" Bush thought he had. Once a candidate has one, more voters piling on is irrelevant. Another way of saying that is that the average vote for the winner isn't worth a full vote.
For the smaller candidates, what matters isn't winning so much as making a respectable showing 1. Every vote for one of those candidates is another iota of credibility to the views they espouse. You're not throwing your vote away like when you vote for the candidates of the establishment; you're sending a message that you reject the whole establishment. You're keeping them on their toes, knowing that there are votes out there who can't be taken for granted.