Places and organisations to report spammers to

Forward spam to 7726 On most networks you can simply forward any text spam you get to 7726 (SPAM on your phone). The odd one out is Three who want it reported to 37726. When you forward the text spam you should get a reply asking for the number the advert came from.
Advertising Standards Authority The ASA are pro-active about text spammers and even if the company who phones you back didn't send the spam themselves the ASA will require them to give the identity of the original advertiser. Examples of companies they have ruled against are Clarity Leads, Cryton and First Financial(UK).
ICO (anonymous spam) If you don't know who is sending the spam then you can still fill in a complaint at the Information Commissioner's Office. They will use this to make a stronger case against a spammer once they have been identified.
ICO (known sender spam) If you do know who is sending the spam then report it to the Information Commissioner's Office using the complaint form. They will investigate the case and get back to you in a few weeks.
Nuisance call bureaus The phone companies run desks which deal with nuisance calls, which includes text spam. Use aql to identify the network and persist if they try to claim that you should be contacting your own network provider because your network will just tell you to contact the source phone company. So far I only have two contact addresses:

Vodaphone: NuisanceCallerBureau@help.vodafone.co.uk
O2/Telephonica: complaintreviewservice@o2.com

Who Calls Me
Who Called Me
Tellows
These sites pool information about marketing companies, and you can post information on them for other people to find. Remember these are public sites so keep your posts polite and truthful.