In the UK (probably other countries too) you have to put up a deposit, designed to prevent frivolous candidatures. I suppose if you can afford to lose your deposit it's not a bad way to protest; even better if you get more votes than the threshold amount!
In Germany you have to collect signatures from a certain sample of the electorate (typically 0.1%) with which they affirm that they want to see you on the ballot.
For municipal elections that's possible to achieve for an individual.
I was considering getting myself on the ballot for some local elections if only to be able to vote for someone else but the two politicians that, from experience, are equally bad.