I (and many others) have received a couple of unsolicited SMS messages to my mobile phone recently. Since you can't put a sensible amount of legalese in them, they're almost all illegal. People in the UK can register a complaint about mobile phone spam to (ifl:)ICSTIS, the Independent Committee for the Supervision of Standards of Telephone Information Services (c.f. http://www.isctis.org.uk/, though I'm not going to support the spread of disinformation by linking to it).
You can register your complaint from ICSTIS' webpage, but you should read their "How to complain" page first. If you're like me, you probably think you have this pretty much down already. Fortunately, it has more useful information, like "What services can ICSTIS investigate?".
This thread from uk.telecom.mobile has a lot of useful information (including what I've extracted above): Subject: Help - Spam Text Message ????
Links for stopping SMS Spam