For instance, if you live in Arizona or Alabama or Oklahoma and you think Dems are the lesser evil, you're really wasting your vote on a Democrat presidential candidate because there's zero chance those states will turn blue. If half the Dem voters in those states voted for, say, the Green Party, we'd really start seeing some interesting politics.
You should read up on what Lincoln thought about "splitters". He strongly disagreed with exactly what you suggest, based on his political experiences. One party splitting tends to severely punish the point of view of all those in the split group -- not always, but usually. The problem is that the non-split party has a cakewalk to victory.
BTW, I do sympathize with your point of view, and I often vote for third parties, as well as the major parties.