There will always be at least one third-party candidate on the ballot, even if they've got zero chance of winning. By voting for that candidate you signal that

There will always be at least one third-party candidate on the ballot, even if they've got zero chance of winning. By voting for that candidate you signal that you're a voter who WILL go to the polls and whom candidates should put in some effort to court, while still indicating with your fringe candidate vote that you are unwilling to support either major party candidate.