The late great Robert LeFevre wrote this short but excellent primer on why voting is immoral:
In ancient Athens, those who admired the Stoic philosophy of individualism took as their motto: "Abstain from Beans." The phrase had a precise reference. It meant: don't vote. Balloting in Athens occurred by dropping various colored beans into a receptacle.
To vote is to express a preference. There is nothing implicitly evil in choosing. All of us in the ordinary course of our daily lives vote for or against dozens of products and services. When we vote for (buy) any good or service, it follows that by salutary neglect we vote against the goods or services we do not choose to buy. The great merit of market place choosing is that no one is bound by any other person's selection. I may choose Brand X. But this cannot prevent you from choosing Brand Y.
When we place voting into the framework of politics, however, a major change occurs. When we express a preference politically, we do so precisely because we intend to bind others to our will. Political voting is the legal method we have adopted and extolled for obtaining monopolies of power. Political voting is nothing more than the assumption that might makes right. There is a presumption that any decision wanted by the majority of those expressing a preference must be desirable, and the inference even goes so far as to presume that anyone who differs from a majority view is wrong or possibly immoral.
But history shows repeatedly the madness of crowds and the irrationality of majorities. The only conceivable merit relating to majority rule lies in the fact that if we obtain monopoly decisions by this process, we will coerce fewer persons than if we permit the minority to coerce the majority. But implicit in all political voting is the necessity to coerce some so that all are controlled. The direction taken by the control is academic. Control as a monopoly in the hands of the state is basic.
In times such as these, it is incumbent upon free men to reexamine their most cherished, long-established beliefs. There is only one truly moral position for an honest person to take. He must refrain from coercing his fellows. This means that he should refuse to participate in the process by means of which some men obtain power over others. If you value your right to life, liberty, and property, then clearly there is every reason to refrain from participating in a process that is calculated to remove the life, liberty, or property from any other person. Voting is the method for obtaining legal power to coerce others.
Source: LewRockwell.com, via Voluntaryist.com