You may be unhappy with an agency that's been dealing with your benefits, not because it has turned down a claim, but because you think you've been treated unfairly or that you've been given bad advice. You can complain first about the agency by writing to them to give them a chance to explain and apologise or compensate you.
If you are unahppy with the agency's response to your complaint you can get help from an ombudsman. If you are unhapppy about how your local council has dealth with your benefits, contact the Local Government Ombudsman.
For complaints about other benefits, contact your MP who can help you apply to the Parliamentary Ombudsman (the Parliamentary Commissioner for Administration).
To complain about the Inland Revenue you can contact the Independent Adjudictor.