It's better to vote for a third party that's somewhere toward your side of the political spectrum.

If you don't vote, that's just a smaller pool that each side will get approximately half of, and you've voted for a candidate that can't win: nobody. You haven't affected anything (not that you are required to affect anything).

If you vote for a third party, that's still someone that probably can't win, but you've moved the needle a bit away from the other two.