Voting for a third party will almost always mean a vote taken away from a major candidate that is closer to what you want, thus supporting someone you less want to win.
Short-term thinking that ensures long-term corruption. Who cares if "your guy" doesn't win this particular election? It's exactly that train of thought that cements the "spoiler effect" into existence. What's more important to you? The next 4 years, or the next 40? For me, it's the latter. So my vote is third party. Early and often. You think a Republican or Democrat will ever push to change our voting system from "first past the post"? A 3rd party would. It would only take one win to make that happen. And then our politics are changed forever. Dream bigger, my friend.
More importantly, winning the election isn't the only relevance of the vote. It also sends messages to the establishment about their constituents. The rise of the Tea Party and the fiscal republicans was largely due to the success of Ron Paul, despite losing in the primaries. I guarantee you Bernie Sanders' success/popularity will have a similar effect on the Democrat establishment. One thing is for sure: the victory of Trump is going to cause huge ripples in the Republican establishment. Their usual tactics won't work anymore, and they know it.