4 years ago a voice recording was leaked, where our democratically elected president (F. Gyurcsany), who's been in power for 4 years, said in an internal party-meeting that "we fucked the country up really bad".
As a result, tens of thousands of people, including me, went out on the streets to protest and demand he resign. A very small fraction of people (a few 10s, mostly soccer huligans) started burning cars and breaking windows. Police responded of course, and shot tear gas and rubber ammo at the crowd, I remember a tear gas canister almost hit me on the head. The mayhem continued for a couple of days, plus we had another similar situation a couple of weeks later on a nat'l holiday. (The damage caused by the huligans to fellow citizen's and gov't property was probably around a few million dollars.)
In the end the president did not resign, which I thought is outrageous, but with police shooting at mostly peaceful protesters, including members of parliament from the opposing party being hit in the head with rubber bullets (not pretty), public opinion shifted, so eventually, 2 years later he did resign, and then in the 2010 election his party went from ~45% support to ~15% support. So overall, the protests and ensuing mayhem worked in the sense that it, and the goverment's response to it shifted public opinion.
So what happened after?
The then-opposing party went from ~45% support to >66% support, they won the elections a couple of months ago, which is important because in our system if you have >66% you can basically pass any law (2/3 majority).
So we were all pretty hopeful that the then-opposition, now ruling party would use its huge popular support and power to do great things.
The verdict is not out yet, but it seems that these guys, although they're very much different from their predecessors, aren't that good either, and unfortunately with their 2/3 parliament majority they can wreak parliamentary havoc (eg. they just changed the constitution to fit their short term political goals). A friend of mine more knowledgable in politics said that our system is basically not designed for a single party to have a 2/3 majority.
Final twist: the then-president F. Gyurcsany is actively working on his comeback =)
So, overall I do think that sometimes you gotta go out to the streets and protest, because it does have an effect, but as the above example shows, it's all pointless if you don't have good politicians to take over.