There are three common arguments made about voting by libertarians. The first is made by those who are too ready to sacrifice principle; that a person must vote for the lesser of two evils. This is a wasted vote. Voting for a Republican or a Democrat on the premise that the candidate from the other major party is worse really makes no difference. First of all most districts are safe districts and the winner of the general election is really determined in the primary. For state-wide races, such as senators or the president, most states are safe states as well.
Voting for the lesser of two evils doesn’t send the message the voter generally assumes will be sent. If a person votes against candidate A by voting for candidate B, all the vote totals show is another vote for candidate B. Votes do not come with labels saying "this is actually a vote against the other candidate", it is counted as a positive endorsement of all the flaws of candidate B.
Maybe in some particular races the counter argument could be made. In Minnesota, for example, the margin of victory in the 2008 senate race was less than the third party total, and Republicans bitterly complained about Libertarians allowing a Democrat to win the office - but Republicans forgot that the votes do not belong to the Republican Party, that they had not earned them, and in fact had acted in such a way as to guarantee that those voters will vote Libertarian. In attempting to make the lesser of two evils argument in that particular case, defenders of lesser of two evils not only undermine their own case, they support showing that the case is the exception and that most races are not nearly that close.
Except for the very extreme case, the vote for a third party will not decide the race between the major party candidates. In Texas, a voter trying to choose between Cynthia McKinney of the Green Party or Barack Obama of the Democratic Party will not swing that state. In California, a voter trying to choose between Chuck Baldwin of the Constitution Party or John McCain of the Republican Party will not swing that state. Also, a voter choosing between McKinney or Obama in California or Baldwin or McCain in Texas will not change the outcome.
But put it another way, take a theoretical voter trying to decide between Cynthia McKinney as his first choice or Barack Obama as the lesser of two evils candidate. If he votes for McKinney he increases her vote total from 161,603 to 161,604 (a percentage increase of 0.0006), but if he votes for Obama he increases his vote total from 64,639,738 to 64,639,739 (a percentage increase of 0.000000015). Clearly voting for McKinney would have a greater impact.