I vote, but vote for the candidate most likely to reduce taxation, regulation, and murder (through any means including abortion, unnecessary wars, euthanasia, etc.).  I know that none will eliminate these completely, but figure every move in the right direction is better than nothing.

Sometimes, when the winner is obvious and my vote doesn't matter, I vote for a 3rd party candidate just to try to get their vote total high enough that people stop saying, "I don't like the major party guy, but I don't want to waste my vote."