My two cents:
Individually speaking, boycotting companies probably has little effect on their profits, but so does buying their stuff (as I said, individually speaking). Those who are deciding to lobby for a Bad Thing™ won't see you as an individual, they only see profits in Region X going up or down.
Boycotting Bad Company™ (or supporting Good Company&trade
has, however, a powerful moral effect on you and everyone you tell about it. It aligns your actions with your values. That gives the feeling that you are in the driver's seat of your destiny (as far as that is possible). And your destiny includes the world you live in, cause, heck, you live there, right?
We have to accept that buying local, buying organic, buying green, buying labor friendly, buying is going to be more expensive. And that means prioritizing and sacrificing some things. Quite simply, we get the world we pay for. Buying a little less stuff would do all of us some good.
Boycotting can be marginally more effective if you write Evil Chain™ a letter telling them why you are boycotting them.
As I said above, next to living your values, the most important thing is telling the people close to you what you are doing. Don't try to convince them to do the same, just lead by example.
Cheers
Paleo