Third-parties have loyalty to those who stick to their lost cause, and that can be respected in a Miguel de Cervantes kind of way.
The example of the Green Party's flirtation with Nader is instructive. Going for a big name with no brand loyalty or identity with your brand is hurtful, not helpful to the development of a political party.
It's a lesson the Libertarian Party has yet to learn, as they are intent generally on whoring out their ballot line to anyone even somewhat famous, whether it be Bob Barr, the abortive Howard Stern gubernatorial campaign, or even "seriously considering" Lisa Murkowski last year.
(Although having Donald Trump as a primary candidate and Pat Buchanan as a nominee, plus $80 million in federal financing, wasn't enough to save the Reform Party...)