If you can't cough up the fee (typically $100 or less for most state and local offices) and get several dozen people to sign your nominating papers (varies somewhat by state and office) you're wasting your time running in the first place.

The big reason we don't see third parties doing well in the US is that the bulk of the country uses first-past-the-post general elections. These mean that a vote for a third party candidate hurts the people most apt to implement the policies you care about.

Three cases:

Case 1:

D - 10 votes, R - 9 votes, I - 0 votes

Democrat wins

Case 2:

D - 9 votes, R - 9 votes, I - 1 vote

Tied election and a coin toss used to decide winner

Case 3:

D - 8 votes, R - 9 votes, I - 2 votes

Republican wins