Depends on the "what". Is it immoral? Illegal? Stupid? Self-Destructive? Deliberately malicious harm to another? All of those have different responses, which vary even more depending on your relationship.

Close friend being self-destructive? Try to point out the consequences, if they'll take the advise. Non-friend or non-acquaintance, doing something illegal? Tell 'em to stop, and if they don't, drop a dime on 'em. Parent abusing a child? I'd probably shoot them.