Here are a few specific recent examples of how third-party votes have affected the policies of the major parties:
The large number of Green votes (especially in 2000) have influenced the Democrats to move to the left on environmental and trade issues.
Perot's reform party put steel in Clinton's spine when it came to fiscal conservatism, leading to significant deficit reduction.
The Republican party has been more impervious to pressure from the Libertarians for increased civil liberty and the Buchanan wing of the conservative movement for a more isolationist foreign policy. That rigidity, however, may undo the Republican party if they can't bend enough to help McCain win and run a successful administration.
Third-party votes tend to be single-issue votes. If there is a particular issue that is being ignored by the major parties, a third-party vote is one way of signaling your thinking on that issue.
The Democrats and Republicans would have us believe that there are only two flavors: conservative and liberal. Further, each of the parties represents one of these flavors. No other choices are possible. Lemminglike, we continue to follow them, so maybe they have a point.
No vote is wasted, as long as it is cast thoughtfully.