In case one gets cheated by any scam, where does a person go and report the incident? I think most of us just blame ill-luck and forgets the matter. But is there really no way to do anything about it?

The FBI recommends that you file a report with the Internet Crime complaint center

http://www.ic3.gov/

Unfortunately there is not much that they can do since most of these scams come out of Africa where they have little jurasdiction but they do take them seriously and try to stop them.

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There a lot of government agencies that handles this kind of problems, because of the increasing number of victims by these kinds of scams. Most internet related scams includes sending you an email that you won some contest that you never really join into and that it includes giving them money to “process” the papers for your prize money.

You can take help of the Government agencies in case you are cheated. But you reach these agencies with a complaint against someone you must make sure you have the details of the deal and with some proof.