If you want to do a good turn, you can report the malicious site to several centralized sources. There are some companies that maintain centralized lists of malicious web sites, and you can report the web sites to those companies. Here are some places you can report phishing sites:
And some places you can report bad/malicious sites in general:
Reporting the site to these lists helps other users. Many modern browsers will query one of the lists maintained by these companies, and warn other users who try to visit that site.
Here is a good list of places to report to: https://decentsecurity.com/#/malware-web-and-phishing-investigation/
Notifying the owners of the website is a bit harder. Here are some options:
- You can poke around the website to see if it lists any information about how to notify the owners about security problems.
- Sometimes email to firstname.lastname@example.org, email@example.com, firstname.lastname@example.org, or email@example.com will reach a system administrator (replace example.org with the domain of the malicious site). You could try emailing all of those addresses.
- You could use Whois to look for contact information for the site owners. See, e.g., this example. You can use abuse.net to simplify the process of contacting the site owners: you'll have to register, but once you register, email to firstname.lastname@example.org is forwarded to the site owners of example.com.
See also What are common/official methods of reporting spam/phishing/nasty-grams to organizations? and Unknown malware, how to report it and whom to report it to? and What is a good method to report security breaches that are being used to actively spam? for related topics.
Footnote: Thanks to Zoredache for the sites listed with a *!