So my vote doesn't really count?

Growing up I always heard my parents and grandparents say things like, "If you didn't vote, then you can't complain." And I admit I have never been much into politics and never really understood the whole process but now working at the Daily Herald and talking with the political reporter I am learning that the system isn't as straight forward as it could be. There are caucuses and delegates and electoral colleges and conventions and all sort of other things that take away how much my actual vote counts.
I don't understand the specfics of the way voting and delegates and all that works on the local level but I am getting a clearer picture of how things work when it comes to the presidential election.
If you live in a state, like Utah, where one party is the clear majority, yet you vote for the presidential candidate from the other party your vote DOESN'T count!!
For example Utah is a republican state, the majority of voters will go to the polls in November and vote for whoever the republican presidential candidate is and there fore all of Utah's electoral college votes will go to that candidate BUT if I went and voted for President Obama my vote essentially means nothing. This is the same in most of the states if you are in the minority in your state the less likely it is your vote will mean anything. If you happen to live in a state where the parties are equally divided, then lucky you that means your single vote could sway the electoral colleges the other way.
What I don't understand is why bother with all of the nonsense? Why don't we do away with conventions, caucuses, delegates and the electoral college and just count the votes?! That way every single vote counts, even the few democrats living in Utah would have a voice! Not to mention it would be far less complicated, time consuming and expensive. In Utah tax dollars pay for the Republican convention. Tax dollars of people who are not Republican are paying for Republicans to sit around and decide who's votes will count when it comes election time (again I don't really understand the whole thing but this is what I think) and that just doesn't seem right to me. On every level of government it makes more sense to just count the people's votes, let the people's voices be heard, maybe then their wouldn't be such a disagreeance between what congress and the President are doing and what the people really want. Until this happens (which may be never) next time someone says if you didn't vote you can't complain I am going to argue otherwise because it simply isn't always the case.