It depends on the issue and what you've tried already. In general I do the following:

1) Contact the front desk/guest relations and give them a shot
2) Contact the manager on duty and give him/her a chance to fix the problem
3) Contact the hotel GM (preferably before checking out)

If after all of that, the problem has not been adequately addressed, I'll email/call the Diamond Desk (though I can only think of 1 or 2 times that has happened).

Good Luck.