For a start, make entirely sure you have found a bug. Double-check with books about TeX, LaTeX, or whatever you're using; compare what you're seeing against the other answers above; ask every possible person you know who has any TeX-related expertise. The reasons for all this caution are various.
If you've found a bug in TeX itself, you're a rare animal indeed. Don Knuth is so sure of the quality of his code that he offers real money prizes to finders of bugs; the cheques he writes are such rare items that they are seldom cashed. If you think you have found a genuine fault in TeX itself (or METAFONT, or the CM fonts, or the TeXbook), don't immediately write to Knuth, however. He only looks at bugs once or twice a year, and even then only after they are agreed as bugs by a small vetting team. In the first instance, contact Barbara Beeton at the AMS (bnb@math.ams.org), or contact TUG.
If you've found a bug in LaTeX2e, look in the bugs database to see if it's already been reported. If not you should submit details of the bug to the LaTeX3 team. To do this, you should process the file latexbug.tex with LaTeX (the file is part of the LaTeX2e distribution. The process will give you instructions about what to do with your bug report (it can, for example, be sent to the team by email). Please be sparing of the team's time; they're doing work for the good of the whole LaTeX community, and any time they spend tracking down non-bugs is time not available to write or debug new code. Details of the whole process, and an interface to the database, are available via http://www.tex.ac.uk/ctan/latex/bugs.html
If you've found a bug in LaTeX2.09, or some other such unsupported software, there's not a lot you can do about it. You may find help or de facto support on a newsgroup such as comp.tex.tex or on a mailing list such as texhax@tex.ac.uk, but posting non-bugs to any of these forums can lay you open to ridicule! Otherwise you need to go out and find yourself a willing TeX-consultant.