The primary worry, especially in winner-takes-all states, is that by giving your vote to a small party, the party that you
strongly disagree with (instead of merely disagree, or at least disagree with less) is not only going to take the area election, but also control over your vote.
In a number of states (most of them, really) it doesn't matter how small the margin your agreed with party is, if it loses, you are ultimately
counted as supporting the victor -- who may be the worse of the two dominate parties, to you. That's why there's the sentiment that you have to be over a certain size party before you genuinely matter... because frankly, insofar as the elections themselves go, that's absolutely true -- if you don' have the numbers, not only will your voice not be officially tallied once the votes are counted and the dust clears, it will be hijacked as nominal support for someone you blatantly disagree with.
It's why you see a lot of dialogue in US political discussions about voting for the lesser evil, because often you're trying to vote specifically to prevent what's considered a greater evil from getting control of your representation. I'll probably be voting Obama in the upcoming despite strong objections to a number of things he's done, because my state is winner-takes-all. I don't like Obama, really, but like hell I'm going to do something that makes it more likely for my vote to be counted for Romney -- and voting third party would do that, unfortunately.
We could seriously use some proportional shit or somethin' down here