The ASA, Advertising Standards Authority, regulates essentially all advertising. So if you've seen a sexist ad:
Transport for London (TfL) have its own (much better) advertising codes above and beyond those of the ASA. These explicitly disallow ads for porn, prostitution, strip clubs, 'promoting poor body image', sexual images of adults or images that might offend 'by way of implication'. So if you see a sexist ad anywhere on the London Transport network contact TfL as your first port of call:
(it is a generic complaints form, just click the links that are most appropriate)
Other Avenues of Complaint
Often complaining to the advertiser or another related party - or even the bill board hoarder, can be very productive. Social media now makes it so easy to spread the word that it becomes increasingly possible to shame companies into showing at least an iota of 'social responsibility'.
Complain to the Advertiser
A twitter storm (led by untameable shrews and a strong contingent from Mumsnet) and press coverage was generated by complaints over these 'jokey' beer mats (which along with this imagery asked women if they 'spat or swallowed'). These were being handed out in welcome packs to female students at Sussex University (because apparently 18 year old girls don't know how to brush their teeth). After it was pointed out that it was deeply inappropriate for teenage girls to be taking a first step into independent living with messages that looked like they had come straight off the pages of Pornhub, the University has said it will 'rethink' using this supplier in future.
Complain to the Billboard Hoarder
Jez saw these ads for an 'escort agency' in the men's loo of his local pub. He complained to the pub - which withdrew it from all its chains. He also complained to the billboard hoarder, Admedia - they withdrew the campaign NATIONWIDE!