First, take a look at some numbers [source]: In the past 4 general federal elections (1997-2006), the average voter turn-out was 63.4%. That means in the past decade, an average of 36.6% of registered voters stayed home. In the last federal election (January 2006), the Conservative Party formed a minority government with 36.3% of the vote - this is actually only 23.3% of registered voters. Who says your vote can't make a difference?
Many people, unfortunately, feel that way and our first-past-the-post system doesn't do much to discourage vote swapping, strategic voting and feelings of disenfranchisment. The Elections Canada website has a page explaining the importance of voting. It highlights the importance of democracy and the legitimacy of governments. Others will argue that if you don't vote you don't have a right to complain about the government. There are also more tangible reasons to vote. Political parties and individual candidates receive money depending on the vote. Any party that receives 2% or more of the national vote gets about $1.75 per vote from the federal government - this was a major breakthrough for the Green party last year. On top of that, candidates who earn more than 10% of the vote in their riding have 60% of their campaign expenses reimbursed. So even if your preferred candidate doesn't win, your vote is like a political donation for to help your candidate or party win a future campaign.
Another thing that tends to get forgotten is that the election doesn't just decide who will become prime minister - unless you live in particular ridings, you won't even see a leader's name on the ballot - but also for who is going to represent your local interests at the federal level. Harper, Dion et al. may have many people apathetic about federal politics, so you can instead focus on who will fight harder for money to come to your area for public transit or building projects, etc. (or who will fight against them if that happens to be your fancy).
Or, if you really feel like your vote doesn't count, opt for a party that will move on electoral reform. But a guaranteed way to ensure your vote doesn't count is to choose not to cast it.