I suppose you could cast a vote for a nonsense person (we do have write ins here), but that's really a non-vote, Aldo.
Here we vote for candidates, not for parties (though generally that distinction can be pretty thoroughly blurred). I've got at least five candidates to pick from during the next congressional election for my state. We've got an independent (no party), a green, a republican or two, a democrat or two, and usually (though not always) a socialist. My votes usually get cast based on the record of the independents, greens and democrats, though I've voted for a republican or two in my day, because of his/her priorities.
Also, if you're not voting out of protest that's reasonably valid. That vote is better used picking the least of all possible evils though. Not voting isn't an effective protest because it doesn't remove support from anyone, it just refuses to grant support. By voting, you declare the person you voted for to be the least bad alternative, which is all you can really ask for in a democratic (of any stripe) system.
Finally, if your options are so bad that you cannot in good consience pick any of the alternatives, you take the next logical step in a democratic system. You run for office yourself.