I got a "Service Message" spam from a company called Venista a couple of months ago. I eventually found out, after being passed between Vodafone and Regtel, that the best bet is to report it to the Data Protection Commissioner.
Three weeks after the original report I got an email from them stating:
We contacted Venista in relation to the sending of these messages and as a result they have suspended all their services in Ireland. They are also going to carry out an internal review.
They have removed your number from their database.
It's nice to see a Government organisation that is actually responsive :)
So, if you're in Ireland and get a spam sms, make sure to report it to the Data Protection Commissioner. There should be equivalent organisations in most countries who should also be able to help.